A new release 0.4.19 of RQuantLib arrived at CRAN earlier today, and has already been uploaded to Debian too.
QuantLib is a rather comprehensice free/open-source library for quantitative finance. RQuantLib connects it to the R environment and language, and has been part of CRAN for more than twenty years (!!)
This release of RQuantLib
brings a small update to three unit tests as very recent 1.31 release QuantLib brought a subtle change to
some fixed income payment schedules and dates. On a sadder note, as CRAN
now checks the ratio of ‘user time’ over ‘elapsed time’, excessive
threading was inferred for five examples. As we seemingly cannot limit
std::thread here, I opted to park these examples behind a
\dontrun{}. Not ideal. Lastly, a few version checks in
configure were updated.
Changes in RQuantLib version 0.4.19 (2023-08-07)
Three calendaring / schedule tests were adjusted for slightly changed values under QuantLib 1.31
Several checks in the
configurescript have been updated to reflect current versions of packages.Five examples no longer run because, even while extremely short, use of (too many default) threads was seen.
Courtesy of my CRANberries, there is also a diffstat report for the this release 0.4.19. As always, more detailed information is on the RQuantLib page. Questions, comments etc should go to the 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.