Sat, 30 Oct 2021

RcppQuantuccia 0.1.0 on CRAN: Full QuantLib Business Calendar Support

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

As of this release, the QuantLib code is only minimally modified. In other words we no longer follow the Quantuccia route of ‘header-izing’ the file but include both cpp and hpp directly. The minimal changes, documented in a diff file in the repo, consists chiefly of removing includes for headers we do not use (given the pure calendaring focus) and accomodating CRAN Policies (by eschewing #pragma directives). We do follow Quantuccia by not having any external linking requirement: the R package only depends on Rcpp (for the glue) and BH for the Boost headers (and system-level Boost headers can be used as drop-in).

The our knowledge, this provides the only small and self-contained (apart from Boost headers) library with current (and regularly updated within QuantLib, which I intend to shadow here) calendaring code on a global scale. Every exchange that matters is likely included. The screenshot provides quick demo.

The complete list changes for this release follows.

Changes in version 0.1.0 (2021-10-30)

  • Code reorganized to have minimal (documented) changes relative to upstream, essentially just removing unused headers, and pragma

  • Added example for full calendaring to

Time permitting, I may look into other bindings from this sub-library; see a first email thread on this.

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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