Wed, 31 Jul 2024

RQuantLib 0.4.24 on CRAN: Robustification

A new minor release 0.4.24 of RQuantLib arrived on CRAN this afternoon (just before the CRAN summer break starting tomorrow), and has been uploaded to Debian too.

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 more than twenty-one years (!!) as it was one of the first packages I uploaded.

This release of RQuantLib follows the recent release from last week which updated to QuantLib version 1.35 released that week, and solidifies conditional code for older QuantLib versions in one source file. We also updated and extended the configure source file, and increased the mininum version of QuantLib to 1.25.

Changes in RQuantLib version 0.4.24 (2024-07-31)

• Updated detection of QuantLib libraries in configure

• The minimum version has been increased to QuantLib 1.25, and DESCRIPTION has been updated to state it too

• The dividend case for vanilla options still accommodates deprecated older QuantLib versions if needed (up to QuantLib 1.25)

• The configure script now uses PKG_CXXFLAGS and PKG_LIBS internally, and shows the values it sets

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.

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.

/code/rquantlib | permanent link

Tue, 23 Jul 2024

RQuantLib 0.4.23 on CRAN: Updates

A new minor release 0.4.23 of RQuantLib just arrived at CRAN earlier today, and will be uploaded to Debian in due course.

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 more than twenty-two years (!!) as it was one of the first packages I uploaded.

This release of RQuantLib updates to QuantLib version 1.35 released this morning. It accommodates some removals following earlier deprecations, and also updates most of the code in the function for a more readable and compact form of creating shared pointers via make_shared() along with auto.

Changes in RQuantLib version 0.4.23 (2024-07-23)

• Adjustments for QuantLib 1.35 and removal of deprecated code (in utility functions and dividend case of vanilla options)

• Adjustments for new changes in QuantLib 1.35

• Refactoring most C++ files making more use of both auto and make_shared to simplify and shorten expressions

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.

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.

/code/rquantlib | permanent link

Thu, 25 Apr 2024

RQuantLib 0.4.22 on CRAN: Maintenance

A new minor release 0.4.22 of RQuantLib arrived at CRAN earlier today, and has been uploaded to Debian.

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 more than twenty years (!!) as it was one of the first packages I uploaded there.

This release of RQuantLib updates to QuantLib version 1.34 which was just released yesterday, and deprecates use of an access point / type for price/yield conversion for bonds. We also made two minor earlier changes.

Changes in RQuantLib version 0.4.22 (2024-04-25)

• Small code cleanup removing duplicate R code

• Small improvements to C++ compilation flags

• Robustify internal version comparison to accommodate RC releases

• Adjustments to two C++ files for QuantLib 1.34

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.

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.

/code/rquantlib | permanent link

Thu, 01 Feb 2024

RQuantLib 0.4.21 on CRAN: Maintenance

A new minor release 0.4.21 of RQuantLib arrived at CRAN this afternoon, and has already been uploaded to Debian 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 more than twenty years (!!) as it was one of the first packages I uploaded there.

This release of RQuantLib benefits from some kind attention that Jeroen has been paying to how we build (especially at CRAN) on both macOS and Windows. So the build processes are a little better now, and no internal code changed. QuantLib 1.33 built unchanged.

Changes in RQuantLib version 0.4.21 (2024-02-01)

• Generalize macOS build to universal build (Jeroen in #179)

• Generalize Windows build to arm64 (Jeroen in #181)

• Generalize version string use to support cmake use (Jeroen in #181 fixing #180)

• Minor update to 'ci.yaml' github action (Dirk)

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.

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.

/code/rquantlib | permanent link

Sun, 26 Nov 2023

RQuantLib 0.4.20 on CRAN: More Maintenance

A new release 0.4.20 of RQuantLib arrived at CRAN earlier today, and has already been uploaded to Debian 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 more than twenty years (!!) as it was one of the first packages I uploaded there.

This release of RQuantLib brings a few more updates for nags triggered by recent changes in the upcoming R release (aka ‘r-devel’, usually due in April). The Rd parser now identifies curly braces that lack a preceding macro, usually a typo as it was here which affected three files. The printf (or alike) format checker found two more small issues. The run-time checker for examples was unhappy with the callable bond example so we only run it in interactive mode now. Lastly I had alread commented-out the setting for a C++14 compilation (required by the remaining Boost headers) as C++14 has been the default since R 4.2.0 (with suitable compilers, at least). Those who need it explicitly will have to uncomment the line in src/Makevars.in. Lastly, the expand printf format strings also found a need for a small change in Rcpp so the development version (now 1.0.11.5) has that addressed; the change will be part of Rcpp 1.0.12 in January.

Changes in RQuantLib version 0.4.20 (2023-11-26)

• Correct three help pages with stray curly braces

• Correct two printf format strings

• Comment-out explicit selection of C++14

• Wrap one example inside 'if (interactive())' to not exceed total running time limit at CRAN checks

Courtesy of my CRANberries, there is also a diffstat report for the this release 0.4.20. 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.

/code/rquantlib | permanent link

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.

/code/rquantlib | permanent link

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.

/code/rquantlib | permanent link

Tue, 25 Oct 2022

RQuantLib 0.4.17 on CRAN: Maintenance

A new release 0.4.17 of RQuantLib arrived at CRAN earlier today, and has been 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.

The release of RQuantLib comes five months after the previous maintenance, and brings a somewhat humurous upgrade from a default C++ standard of C++11 to C++14. We waited so long for C++11 to become available for R (which happened “eventually” when g++ 4.9 was no longer the default on Windows) and now it has become a constraint!! QuantLib 1.28, released today actually switched to C++14 as a minimum required. R also supports this as the default, but we still had C++11 hardwired so this quick maintenance release does away with that.

Changes in RQuantLib version 0.4.17 (2022-10-25)

• Switch compilation to C++14 which is required by QuantLib 1.28 and, while standard with R 4.2.*, may be needed for R 4.1.*

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.

/code/rquantlib | permanent link

Thu, 05 May 2022

RQuantLib 0.4.16 on CRAN: Small Updates

A new release 0.4.16 of RQuantLib arrived at CRAN earlier today, and has been 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.

The release of RQuantLib comes agaain about four months after the previous release, and brings a a few small updates for daycounters, all thanks to Kai Lin, plus a small parameter change to avoid an error in an example, and small updates to the Docker files.

Changes in RQuantLib version 0.4.16 (2022-05-05)

• Documentationn for daycounters was updated and extended (Kai Lin)

• Deprecated daycounters were approtiately updated (Kai Lin)

• One example parameterization was changed to avoid error (Dirk)

• The Docker files were updated

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.

/code/rquantlib | permanent link

Thu, 20 Jan 2022

RQuantLib 0.4.15: Regular Update

A new release 0.4.15 of RQuantLib arrived at CRAN earlier today, and has been 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.

The release of RQuantLib comes four months after the previous release, and brings a momitor update for the just-released QuantLib 1.2.5 version along with a few small cleanups to calendars and daycounters.

Changes in RQuantLib version 0.4.15 (2022-01-19)

• Changes in RQuantLib code:

  • Calendar support has been updated and completed to current QuantLib standards (Dirk in #161)

  • More daycounters have been added (Kai Lin in #163 fixing #162, #164)

  • The bonds pricers were update to changes in QuantLib 1.25 (Dirk)

• Changes in RQuantLib package and setup:

  • Some package metadata was removed from the README.md (Dirk)

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.

/code/rquantlib | permanent link

Wed, 06 Oct 2021

RQuantLib 0.4.14: More Calendars plus Update

A new release 0.4.14 of RQuantLib was uploaded to CRAN earlier today, and has by now been 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.

The release of RQuantLib comes just one months after the previous release, and brings three changes. First, we added both two more US-based calendars (including ‘FederalReserve’) along with a bunch of not-yet-included other calendars which should complete the coverage in the R package relative to the upstream library. Should we have forgotten any, feel free to open an issue. Second, CRAN currently aims to have older autoconf conventions updated and notified maintainers of affected packages. I received a handful of these, and just like yesterday’s update to littler refreshed this here. Third, we set up automated container builds on GitHub. No other changes were made, details follow.

Changes in RQuantLib version 0.4.14 (2021-10-06)

• Changes in RQuantLib code:

  • Several new calendars were added (Dirk in #159 closing #155)

• Changes in RQuantLib package and setup:

  • Docker containers are now updated on a monthly schedule via GitHub Actions

  • The configure files were updated to the standard of version 2.69 following a CRAN request

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.

/code/rquantlib | permanent link

Fri, 03 Sep 2021

RQuantLib 0.4.13: Routine Update

A new release 0.4.13 of RQuantLib arrived on CRAN yesterday, and has been 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 updates RQuantLib to a few now-deprecated (daycount convention) interfaces in QuantLib release 1.23. As the last release was sixteen months ago, we also updated a few standard packaging aspects (such as use of r-ci), updated README.md and DESCRIPTION and fixed an old typo. No other changes, no new interfaces.

Changes in RQuantLib version 0.4.13 (2021-09-02)

• Changes in RQuantLib code:

  • Small updates to DESCRIPTION and README.md

  • Switch CI use to r-ci

  • An eleven-year old typo was correct in a manual page (Dirk in #156 fixing #155 with thanks to @klin133)

  • Daycount convention calls deprecated in QuantLib 1.23 were updated (Dirk in #157)

  • Updated remaining http:// URLs in documentation to https://

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.

/code/rquantlib | permanent link

Thu, 02 Apr 2020

RQuantLib 0.4.12: Small QuantLib 1.18 update

A new release 0.4.12 of RQuantLib arrived on CRAN today, and was 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 version does relatively little. When QuantLib 1.18 came out, I immediately did my usual bit of packaging it for Debian as well creating binaries via my Ubuntu PPA so that I could test the package against it. And a few call from RQuantLib are now hitting interface functions marked as ‘deprecated’ leading to compiler nags. So I fixed that in PR #146. And today CRAN sent me email to please fix in the released version—so I rolled this up as 0.4.12. Not other changes.

Changes in RQuantLib version 0.4.12 (2020-04-01)

• Changes in RQuantLib code:

  • Calls deprecated-in-QuantLib 1.18 were updated (Dirk in #146).

Courtesy of 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. For the first year, GitHub will match your contributions.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Wed, 15 Jan 2020

RQuantLib 0.4.11: More polish

New year, new RQuantLib! A new release 0.4.11 of RQuantLib arrived overnight on CRAN; and a Debian upload will follow shortly.

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

This version does three new things. First, we fixed an oversight on our end and now allow a null calendar (as the C++ API). Second, the package switched to tinytest as a few of my other packages have done, allowing for very flexible testing during development and deployment—three cheers for easily testing installed packages too. Third, and per a kind nag from Kurt Hornik I updated a few calls which the current QuantLib 1.17 marks as deprecated. That lead to a compile issue with 1.16 so the change is conditional in one part. The complete set of changes is listed below:

Changes in RQuantLib version 0.4.11 (2020-01-15)

• Changes in RQuantLib code:

  • The 'Null' calendar without weekends or holidays is now recognized.

  • The package now uses tinytest for unit tests (Dirk in #140).

  • Calls deprecated-in-QuantLib 1.17 were updated (Dirk in #144).

Courtesy of 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. For the first year, GitHub will match your contributions.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Wed, 07 Aug 2019

RQuantLib 0.4.10: Pure maintenance

A new version 0.4.10 of RQuantLib just got onto CRAN; a Debian upload will follow in due course.

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

This version does two things related to the new upstream QuantLib release 1.16. First, it updates the Windows build script in two ways: it uses binaries for the brand new 1.16 release as prepapred by Jeroen, and it sets win-builder up for the current and “prospective next version”, also set up by Jeroen. I also updated the Dockerfile used for CI to pick QuantLib 1.16 from Debian’s unstable repo as it is too new to have moved to testing (which the r-base container we build on defaults to). The complete set of changes is listed below:

Changes in RQuantLib version 0.4.10 (2019-08-07)

• Changes in RQuantLib build system:

  • The src/Makevars.win and tools/winlibs.R file get QuantLib 1.16 for either toolchain (Jeroes in #136).

  • The custom Docker container now downloads QuantLib from Debian unstable to get release 1.16 (from yesterday, no less)

Courtesy of 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.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Sun, 19 May 2019

RQuantLib 0.4.9: Another small updates

A new version 0.4.9 of RQuantLib reached CRAN and Debian. It completes the change of some internals of RQuantLib to follow suit to an upstream change in QuantLib. We can now seamlessly switch between shared_ptr<> from Boost and from C++11 – Luigi wrote about the how and why in an excellent blog post that is part of a larger (and also excellent) series of posts on QuantLib internals.

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

The complete set of changes is listed below:

Changes in RQuantLib version 0.4.9 (2019-05-15)

• Changes in RQuantLib code:

  • Completed switch to QuantLib::ext namespace wrappers for either shared_ptr use started in 0.4.8.

Courtesy of 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.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Sun, 17 Mar 2019

RQuantLib 0.4.8: Small updates

A new version 0.4.8 of RQuantLib reached CRAN and Debian. This release was triggered by a CRAN request for an update to the configure.ac script which was easy enough (and which, as it happens, did not result in changes in the configure script produced). I also belatedly updated the internals of RQuantLib to follow suit to an upstream change in QuantLib. We now seamlessly switch between shared_ptr<> from Boost and from C++11 – Luigi wrote about the how and why in an excellent blog post that is part of a larger (and also excellent) series of posts on QuantLib internals.

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

In other news, we finally have a macOS binary package on CRAN. After several rather frustrating months of inaction on the pull request put together to enable this, it finally happened last week. Yay. So CRAN currently has an 0.4.7 macOS binary and should get one based on this release shortly. With Windows restored with the 0.4.7 release, we are in the best shape we have been in years. Yay and three cheers for Open Source and open collaboration models!

The complete set of changes is listed below:

Changes in RQuantLib version 0.4.8 (2019-03-17)

• Changes in RQuantLib code:

  • Source code supports Boost shared_ptr and C+11 shared_ptr via QuantLib::ext namespace like upstream.

• Changes in RQuantLib build system:

  • The configure.ac file no longer upsets R CMD check; the change does not actually change configure.

Courtesy of 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.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Tue, 11 Dec 2018

RQuantLib 0.4.7: Now with corrected Windows library

A new version 0.4.7 of RQuantLib reached CRAN and Debian. Following up on the recent 0.4.6 release post which contained a dual call for help: RQuantLib was (is !!) still in need of a macOS library build, but also experienced issues on Windows.

Since then we set up a new (open) mailing list for RQuantLib and, I am happy to report, sorted that Windows issue out! In short, with the older g++ 4.9.3 imposed for R via Rtools, we must add an explicit C++11 flag at configuration time. Special thanks to Josh Ulrich for tireless and excellent help with testing these configurations, and to everybody else on the list!

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

This release re-enable most examples and tests that were disabled when Windows performance was shaky (due to, as we now know, as misconfiguration of ours for the windows binary library used). With the exception of the AffineSwaption example when running Windows i386, everything is back!

The complete set of changes is listed below:

Changes in RQuantLib version 0.4.7 (2018-12-10)

• Changes in RQuantLib tests:

  • Thanks to the updated #rwinlib/quantlib Windows library provided by Josh, all tests that previously exhibited issues have been re-enabled (Dirk in #126).

• Changes in RQuantLib documentation:

  • The CallableBonds example now sets an evaluation date (#124).

  • Thanks to the updated #rwinlib/quantlib Windows library provided by Josh, examples that were set to dontrun are re-activated (Dirk in #126). AffineSwaption remains the sole holdout.

• Changes in RQuantLib build system:

  • The src/Makevars.win file was updated to reflect the new layout used by the upstream build.

  • The -DBOOST_NO_AUTO_PTR compilation flag is now set.

As stated above, we are still looking for macOS help though. Please get in touch on-list if you can help build a library for Simon’s recipes repo.

Courtesy of 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.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Sun, 25 Nov 2018

RQuantLib 0.4.6: Updated upstream, and calls for help

The new 0.4.6 release of RQuantLib arrived on CRAN and Debian earlier today. It is two-fold update: catching up QuantLib 1.14 while also updating to Boost 1.67 (and newer).

A special thanks goes to Josh for updating to the binary windows library in the rwinlib repository allowing us a seamless CRAN update.

The package needs some help, though. There are two open issues. First, while it builds on Windows, many functions currently throw errors. This may be related to upstream switching to a choice of C++11 or Boost smart pointers though this throws no spanners on Linux. So it may simply be that some of the old curve-building code shows its age. It could also be something completely different—but we need something with a bit of time, debugging stamina, at least a little C++ knowledge and a working Windows setup for testing. I have a few of the former attributes and can help, but no suitable windows (or mac, see below) machine. If you are, or can be, the person to help on Windows, please get in touch at this issue ticket.

Second, we simply have no macOS build. Simon has a similar binary repo but no time himself to work on building QuantLib for macOS with the required R-compatible toolchains. If you are on macOS, care about RQuantLib, and know how to build R packages (and how to deal with compilers etc in general) please consider helping. A little more is at this issue ticket.

Otherwise, this release was mostly about internal plus a little helper for holidays. The complete set of changes is listed below:

Changes in RQuantLib version 0.4.6 (2018-11-25)

• Changes in RQuantLib code:

  • The code was updated for release 1.14 of QuantLib.

  • The code was updated for Boost 1.67 or later (#120 fixing #119).

  • Fewer examples and tests are running on Windows.

  • Several bond prixing examples corrected to use dayCounter.

  • Two new functions were added to add and remove (custom) holidays (#115).

  • The continuous integration setup was rewritten for containers.

Courtesy of 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 off the R-Forge page. Issue tickets can be filed at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Fri, 10 Aug 2018

RQuantLib 0.4.5: Windows is back, and small updates

A brand new release of RQuantLib, now at version 0.4.5, just arrived on CRAN, and will get to Debian shortly. This release re-enables Windows builds thanks to a PR by Jeroen who now supplies a QuantLib library build in his rwinlib repositories. (Sadly, though, it is already one QuantLib release behind, so it would be awesome if a volunteer could step forward to help Jeroen keeping this current.) A few other smaller fixes were made, see below for more.

The complete set of changes is listed below:

Changes in RQuantLib version 0.4.5 (2018-08-10)

• Changes in RQuantLib code:

  • The old rquantlib.h header is deprecated and moved to a subdirectory. (Some OS confuse it with RQuantLib.h which Rcpp Attributes like to be the same name as the package.) (Dirk in #100 addressing #99).

  • The files in src/ now include rquantlib_internal.h directly.

  • Several ‘unused variable’ warnings have been taken care of.

  • The Windows build has been updated, and now uses an external QuantLib library from 'rwinlib' (Jeroen Ooms in #105).

  • Three curve-building example are no longer running by default as win32 has seen some numerical issues.

  • Two Rcpp::compileAttributes generated files have been updated.

Courtesy of 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 off the R-Forge page. Issue tickets can be filed at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Wed, 08 Nov 2017

RQuantLib 0.4.4: Several smaller updates

A shiny new (mostly-but-not-completely maintenance) release of RQuantLib, now at version 0.4.4, arrived on CRAN overnight, and will get to Debian shortly. This is the first release in over a year, and it it contains (mostly) a small number of fixes throughout. It also includes the update to the new DateVector and DatetimeVector classes which become the default with the upcoming Rcpp 0.12.14 release (just like this week's RcppQuantuccia release). One piece of new code is due to François Cocquemas who added support for discrete dividends to both European and American options. See below for the complete set of changes reported in the NEWS file.

As with release 0.4.3 a little over a year ago, we will not have new Windows binaries from CRAN as I apparently have insufficient powers of persuasion to get CRAN to update their QuantLib libraries. So we need a volunteer. If someone could please build a binary package for Windows from the 0.4.4 sources, I would be happy to once again host it on the GHRR drat repo. Please contact me directly if you can help.

Changes are listed below:

Changes in RQuantLib version 0.4.4 (2017-11-07)

• Changes in RQuantLib code:

  • Equity options can now be analyzed via discrete dividends through two vectors of dividend dates and values (Francois Cocquemas in #73 fixing #72)

  • Some package and dependency information was updated in files DESCRIPTION and NAMESPACE.

  • The new Date(time)Vector classes introduced with Rcpp 0.12.8 are now used when available.

  • Minor corrections were applied to BKTree, to vanilla options for the case of intraday time stamps, to the SabrSwaption documentation, and to bond utilities for the most recent QuantLib release.

Courtesy of 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 off the R-Forge page. Issue tickets can be filed at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Fri, 19 Aug 2016

RQuantLib 0.4.3: Lots of new Fixed Income functions

A release of RQuantLib is now on CRAN and in Debian. It contains a lot of new code contributed by Terry Leitch over a number of pull requests. See below for full details but the changes focus on Fixed Income and Fixed Income Derivatives, and cover swap, discount curves, swaptions and more.

In the blog post for the previous release 0.4.2, we noted that a volunteer was needed for a new Windows library build of QuantLib for Windows to replace the outdated version 1.6 used there. Josh Ulrich stepped up, and built them. Josh and I tried for several month to get the win-builder to install these, but sadly other things took priority and we were unsuccessful. So this release will not have Windows binaries on CRAN as QuantLib 1.8 is not available there. Instead, you can use the ghrr drat and do

if (!require("drat")) install.packages("drat")
drat::addRepo("ghrr")
install.packages("RQuantLib")

to fetch prebuilt Windows binaries from the ghrr drat. Everybody else gets sources from CRAN.

Changes in RQuantLib version 0.4.3 (2016-08-19)

• Changes in RQuantLib code:

  • Discount curve creation has been made more general by allowing additional arguments for day counter and fixed and floating frequency (contributed by Terry Leitch in #31, plus some work by Dirk in #32).

  • Swap leg parameters are now in combined variable and allow textual description (Terry Leitch in #34 and #35)

  • BermudanSwaption has been modfied to take option expiration and swap tenors in order to enable more general swaption structure pricing; a more general search for the swaptions was developed to accomodate this. Also, a DiscountCurve is allowed as an alternative to market quotes to reduce computation time for a portfolio on a given valuation date (Terry Leitch in #42 closing issue #41).

  • A new AffineSwaption model was added with similar interface to BermudanSwaption but allowing for valuation of a European exercise swaption utlizing the same affine methods available in BermudanSwaption. AffineSwaption will also value a Bermudan swaption, but does not take rate market quotes to build a term structure and a DiscountCurve object is required (Terry Leitch in #43).

  • Swap tenors can now be defined up to 100 years (Terry Leitch in #48 fising issue #46).

  • Additional (shorter term) swap tenors are now defined (Guillaume Horel in #49, #54, #55).

  • New SABR swaption pricer (Terry Leitch in #60 and #64, small follow-up by Dirk in #65).

  • Use of Travis CI has been updated and switch to maintained fork of deprecated mainline.

Courtesy of 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 off the R-Forge page. Issue tickets can be filed at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Thu, 03 Dec 2015

RQuantLib 0.4.2: Now with intra-day times

A new minor release of RQuantLib was released onto CRAN and into Debian. It takes advantages of some changes from last week's QuantLib release 1.7.

Particularly noteworthy is the addition of support for intra-daily times in QuantLib based on work by Klaus Spanderen. If QuantLib was configured with the -enable-intraday option, we use the higher granularity of the time representation in all option pricers and implied volatility calculations. The impact of this feature is illustrated in the graph below.

The graph shows the valuation of a Call option, European expiry, struck at the money with sensible short rate, dividend yield and volatility. We vary the time to expiry from five days to zero in steps of a quarter day. In darker blue is the correct valuation declining in parabolic shape. In lighter blue is what we get with QuantLib up to release 1.6, or newer releases configured without intra-day time support: an ugly step function that is off, and increasingly so we approach the expiration.

Which leads to an appeal: a volunteer is needed to update the QuantLib 1.7 build for Windows. Jeroen tried, but ran into a snag and out of time. If you can help, please get in touch to Jeroen and myself. We suspect that the largest part of RQuantLib users relies on the prebuilt binaries from CRAN, and it would nice to have these updated to the current version of QuantLib.

Changes in RQuantLib version 0.4.2 (2015-12-03)

• Changes in RQuantLib code:

  • Intra-day times are now available if QuantLib 1.7 or later is used, and has been configured with --enable-intraday

  • New helper functions getQuantLibVersion() and getQuantLibCapabilties()

  • New package startup code detects and warns about outdated QuantLib versions, or missing intra-day capability, unless not interactive.

  • The missing Monthly parameter has been added to matchFrequency (fixing issue ticket #19)

Courtesy of 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 off the R-Forge page. Issue tickets can be filed at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Sun, 20 Sep 2015

RQuantLib 0.4.1

Right before heading off to last week's excellent EARL 2015 conference in London, a new minor release of RQuantLib was released onto CRAN and into Debian.

Changes in RQuantLib version 0.4.1 (2015-09-11)

• Changes in RQuantLib code:

  • A simple shiny application is now included in the directory shiny/DiscountCurve/ and accessible via the new demo function ShinyDiscountCurve.

  • The option surface plotting example in arrays.R now checks for rgl by using requireNamespace.

  • The files NAMESPACE and DESCRIPTION have been updated to reflect all the suggestions of R CMD check.

  • The Travis CI tests now use binary Debian packages for all package dependencies making the tests a little faster.

Courtesy of 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 off the R-Forge page. Issue tickets can be filed at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Tue, 02 Dec 2014

RQuantLib 0.4.0

A new major release of RQuantLib is now on CRAN and getting to Debian.

All C++ source files have been rewritten to take advantage of newer Rcpp features. Several Fixed Income functions have been added, or refreshed, thanks to contributions by Michele Salvadore. Calendar support was greatly expanded thanks to a contribution by Danilo Dias da Silva. All key changes are listed in detail below.

Changes in RQuantLib version 0.4.0 (2014-12-01)

• Changes in RQuantLib code:

  • All function interfaces have been rewritten using Rcpp Attributes. No SEXP remain in the function signatures. This make the code shorter, more readable and more easily extensible.

  • The header files have been reorganized so that plugin use is possible. An impl.h files is imported once for each compilation unit: for RQuantLib from the file src/dates.cpp directory, from a sourced file via a #define set by the plugin wrapper.

  • as<>() and wrap() converters have added for QuantLib Date types.

  • Plugin support has been added, allowing more ad-hoc use via Rcpp Attributes.

  • Several Fixed Income functions have been added, and/or rewritten to better match the QuantLib signatures; this was done mostly by Michele Salvadore.

  • Several Date and Calendar functions have been added.

  • Calendar support has been greatly expanded thanks to Danilo Dias da Silva.

  • Exported curve objects are now more parsimonious and advance entries in the table object roughly one business month at a time.

  • The DiscountCurve and Bond curve construction has been fixed via a corrected evaluation date and omitted the two-year swap rate, as suggested by Luigi Ballabio.

  • The NAMESPACE file has a tighter rule for export of *.default functions, as suggested by Bill Dunlap

  • Builds now use OpenMP where available.

  • The package now depends on QuantLib 1.4.0 or later.

• Changes in RQuantLib tests:

  • New unit tests for dates have been added.

  • C++ code for the unit tests has also been converted to Rcpp Attributes use; a helper function unitTestSetup() has been added.

  • Continuous Integration via Travis is now enabled from the GitHub repo.

• Changes in RQuantLib documentation:

  • This NEWS file has been added. Better late than never, as they say.

Courtesy of 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 off the R-Forge page. Issue tickets can be filed at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Sun, 09 Mar 2014

RQuantLib 0.3.12

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Mon, 27 Jan 2014

RQuantLib 0.3.11

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rquantlib | permanent link

Mon, 18 Feb 2013

RQuantLib 0.3.10

The discount curve building code in QuantLib has shown some overly large numerical instabilities. We have used the same example parameters (taken from the Swap example in QuantLib) for years; it currently fails to solve for a rate at some term further out the curve. So I made the decistion to disable this just in the examples in order to not upset the CRAN testing framework. The examples now use a flat curve instead. I also updated one function to silence some new warnings from R-devel about symbols from another packages's namespace (in this case rgl, and it is just for surface plots, a purely cosmetic function).

Thanks to CRANberries, there is also a diff to the previous release 0.3.9. Full changelog details, examples and more details about this package are at my RQuantLib page.

/code/rquantlib | permanent link

Sun, 02 Dec 2012

RQuantLib 0.3.9

Bryan Lewis had suggested to enable another pricing engine for American Options in order to get (at least some) Greeks. This is now supported by picking engine="CrankNicolson" as shown in the default example for the AmericanOption function:

R> library(RQuantLib)
R> example(AmericanOption)

AmrcnOR> # simple call with unnamed parameters
AmrcnOR> AmericanOption("call", 100, 100, 0.02, 0.03, 0.5, 0.4)
Concise summary of valuation for AmericanOption 
  value   delta   gamma    vega   theta     rho  divRho 
11.3648      NA      NA      NA      NA      NA      NA 

AmrcnOR> # simple call with some explicit parameters
AmrcnOR> AmericanOption("put", strike=100, volatility=0.4, 100, 0.02, 0.03, 0.5)
Concise summary of valuation for AmericanOption 
  value   delta   gamma    vega   theta     rho  divRho 
10.9174      NA      NA      NA      NA      NA      NA 

AmrcnOR> # simple call with unnamed parameters, using Crank-Nicolons
AmrcnOR> AmericanOption("put", strike=100, volatility=0.4, 100, 0.02, 0.03, 0.5, engine="CrankNicolson")
Concise summary of valuation for AmericanOption 
  value   delta   gamma    vega   theta     rho  divRho 
10.9173 -0.4358  0.0140      NA      NA      NA      NA 
R> 

Thanks to CRANberries, there is also a diff to the previous release 0.3.8. Full changelog details, examples and more details about this package are at my RQuantLib page.

/code/rquantlib | permanent link

Mon, 12 Sep 2011

RQuantLib 0.3.8

Thanks to Helmut Heiming who noticed a side-effec t from the DiscountCurve functions: the Quantlib-global variable determining the evaluation date was overriden; this could affect subsequent curve-related pricers. This is now fixed, and we added a new function setEvaluationDate to set this date from R too. We added this call in some of the examples in the manual pages. Otherwise two very minor build system tweaks were added, but no other changes were made

Thanks to CRANberries, there is also a diff to the previous release 0.3.7. Full changelog details, examples and more details about this package are at my RQuantLib page.

/code/rquantlib | permanent link

Mon, 04 Apr 2011

RQuantLib 0.3.7

Thanks to the help by Brian Ripley (who compiled QuantLib for 64 bit Windows), Josh Ulrich (who did the same for 32 bit Windows, and arranged the Windows builds) and Uwe Ligges (who runs win-builder for R) we once again have Windows binaries as well as the usual source distribution (and Debian binaries).

The only other change was minor fix to the documentation files. We had found that the pdf reference manual build would break for Uwe and Kurt (using A4 paper settings) but not myself (using letter). Uwe finally tracked that down: we had some arguments to \url{} with over seventy characters, and that broke typesetting. I commented those out (as the entries were in doxygen-generated QuantLib page which have volatile names anyway) and fully automated builds now resume as usual. Thanks again to Uwe for that too. No other changes were made.

Thanks to CRANberries, there is also a diff to the previous release 0.3.6. Full changelog details, examples and more details about this package are at my RQuantLib page.

/code/rquantlib | permanent link

Wed, 23 Feb 2011

RQuantLib 0.3.6

There are only two changes to two files where an explicit conversion as per Rcpp::as<double> was called for. A Debian archive rebuild had triggered one of those fails to build from source bug reports as the compiler version seems to be more finicky now than when version 0.3.5 was uploaded in November. No other changes were made.

Thanks to CRANberries, there is also a diff to the previous release 0.3.5. Full changelog details, examples and more details about this package are at my RQuantLib page.

/code/rquantlib | permanent link

Tue, 30 Nov 2010

RQuantLib 0.3.5

Most of the changes were made two and four weeks ago: first in response to some warnings triggered by R 2.12.0 on the included manual pages which needed a brush-up, and then again is some consolidation of manual pages and some other minor tweaks. The release was then held back at CRAN as we noticed that manual pages, when collated to a single large document, triggered a segmentation fault in the latex compiler. Oddly enough only in Europe (if the a4paper option was used) and not here (where I use uspaper). Long story short, this turns out to be a bug in the latex toolchain (which we reported as Debian bug report 604754) which is apparently is known but has no known fix yet (a sample file was supplied with the bug report if you want to take a look).

With that, special thanks go to Kurt Hornik and Brian Ripley on the R Core team who made a change to how R processes the manual which made it resilient to the latex bug so that normal release of the package could proceed (and the shiny manual is available too).

Thanks to CRANberries, there is also a diff to the previous release 0.3.4. Full changelog details, examples and more details about this package are at my RQuantLib page.

/code/rquantlib | permanent link

Mon, 09 Aug 2010

RQuantLib 0.3.4

This follows the 0.3.3 release from last week and has again a number of internal changes. All uses of objects from external namespaces are now explicit as I removed the remaining using namespace QuantLib;. This makes things a little more verbose, but should be much clearer to read, especially for those not yet up to speed on whether a given object comes from any one of the Boost, QuantLib or Rcpp namespaces. We also generalized an older three-dimensional plotting function used for option surfaces -- which had already been used in the demo() code -- and improved the code underlying this: arrays of option prices and analytics given two input vectors are now computed at the C++ level for a nice little gain in efficiency. This also illustrates the possible improvements from working with the new Rcpp API that is now used throughout the package,

Full changelog details, examples and more details about this package are at my RQuantLib page.

/code/rquantlib | permanent link

Wed, 04 Aug 2010

RQuantLib 0.3.3

Many of the changes in this new version are internal. The code was re-written using the new Rcpp API throughout, and the build system was further simplified using the LinkingTo: mechanism. The arithmetic average-price asian option pricer was added. A few other code updates were made as well.

Full changelog details, examples and more details about this package are at my RQuantLib page.

/code/rquantlib | permanent link