Mon, 07 Aug 2023

RQuantLib 0.4.19 on CRAN: More Maintenance

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 configure script 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.

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