A new minor release 0.4.27 of RQuantLib, the first in over a year, arrived on CRAN a couple of minutes ago, has just now been uploaded to Debian, and is being built for r2u as well.
QuantLib is a rather comprehensice free/open-source library for quantitative finance. RQuantLib connects (some parts of) it to the R environment and language, and has been part of CRAN for nearly twenty-three years (!!) as it was one of the first packages I uploaded to CRAN.
This release of RQuantLib
brings an update to the interface for all equity options, vanilla and
exotics as well as implied volatilities. We now support the option
maturity via either an actual maturity date, or the (fractional
business-day years) numeric. This uses a clever little Rcpp trick I should discuss in a
separate blog post. We also re-ran compileAttributes() to
re-create the RcppExports.cpp file now using a slightly
improved way of calling Rf_error for an ongoing Rcpp transition, and did some more
standard maintenance. The details from the NEWS file follow as
usual.
Changes in RQuantLib version 0.4.27 (2026-06-07)
All equity option functions can now take either a (fractional) time span to expiry or a given date, and accept a daycounter setter.
Two very old schedule helpers had a superfluous
try/catchremoved.The continuous integration setup received a minor update.
The
RcppExports.cppfile was updated to aid aRcpptransition.
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 rquantlib-devel mailing list. Issue tickets can be filed at the GitHub repo.
This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. If you like this or other open-source work I do, you can now sponsor me at GitHub.