Sat, 23 Oct 2021

RcppQuantuccia 0.0.5 on CRAN: Updated and Calendar Focus

Another new release of RcppQuantuccia arrived on CRAN today, just a couple of days after the previous release. RcppQuantuccia started from the Quantuccia header-only subset / variant of QuantLib which it brings it to R.

As of this release, it concentrates on calendaring functionality taking advantage of the extensive collection of country-specific holiday information in QuantLib. The release updates the included code to the most recent QuantLib release. We added one calendar (for Brazil) and one utility function (of exporting all business days in a given range, which is the simple complement to the existing holiday list getter).

The complete list changes follows.

Changes in version 0.0.5 (2021-10-23)

  • Refocused on calendaring functionality only, removed daycounters/, math/, methods/, models/, plus other unused headers

  • Fully updated to (current) QuantLib release 0.2.4

  • Added getBusinessDays() to retrieve range of dates

  • Added Brazil calendar

Courtesy of CRANberries, there is also a diffstat report relative to the previous release. More information is on the RcppQuantuccia page. Issues and bugreports should go to the GitHub issue tracker.

If you like this or other open-source work I do, you can now sponsor me at GitHub.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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