Mon, 01 May 2023

RQuantLib 0.4.18 on CRAN: Maintenance

A new release 0.4.18 of RQuantLib arrived at CRAN earlier today, and will be uploaded to Debian as well.

QuantLib is a very comprehensice free/open-source library for quantitative finance; RQuantLib connects it to the R environment and language.

This release of RQuantLib comes about six months after the previous maintenance release. It brings a few small updates triggered by small changes in the QuantLib releases 1.29 and 1.30. It also contains updates reflecting changes in the rgl package kindly contributed by Duncan Murdoch. Last but not least, Jeroen Ooms helped with two pull requests updating builds on, repspectively, macOS and Windows by updating the pre-made libraries of QuantLib.

Changes in RQuantLib version 0.4.18 (2023-05-01)

  • Use of several rgl functions was updated to a new naming scheme in the package (kindly contributed by Duncan Murdoch in #174)

  • A default argument is now given for option surface plots

  • Changed call from SwaptionVolCube1 to SabrSwaptionVolatilityCube (conditional on using QuantLib 1.30 or later)

  • Some other deprecation warnings were tweaked as in QL test file

  • Builds for macOS and Windows were updated with more library build (changes kindly contributed by Jeron Ooms in #176 and #175)

  • Some remaining throw calls were replace by Rcpp::stop

Courtesy of my CRANberries, there is also a diffstat report for the this release. As always, more detailed information is on the RQuantLib page. Questions, comments etc should go to the new rquantlib-devel mailing list. Issue tickets can be filed at the GitHub repo.

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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