RcppQuantuccia

Rcpp bindings for Quantuccia

So what is Quantuccia?

Quantuccia is the "little sister" of QuantLib: A header-only subset of which aims to provide the essential parts of QuantLib while being easier to deploy requiring only Boost headers besides itself.

Being header-only makes providing Quantuccia for R a breeze as we can rely on the Rcpp and BH packages. Nothing else is required, and as these packages are available on all relevant platforms, deploying RcppQuantuccia is straightforward.

Example

Here we examine holiday lists for given calendars, specified by country and possibly exchange:

R> library(RcppQuantuccia)
R> fromD <- as.Date("2017-01-01")
R> toD <- as.Date("2017-12-31")
R> getHolidays(fromD, toD)        # default calender ie TARGET
[1] "2017-04-14" "2017-04-17" "2017-05-01" "2017-12-25" "2017-12-26"
R> setCalendar("UnitedStates")
R> getHolidays(fromD, toD)        # US aka US::Settlement
[1] "2017-01-02" "2017-01-16" "2017-02-20" "2017-05-29" "2017-07-04" "2017-09-04"
[7] "2017-10-09" "2017-11-10" "2017-11-23" "2017-12-25"
R> setCalendar("UnitedStates::NYSE")
R> getHolidays(fromD, toD)        # US New York Stock Exchange
[1] "2017-01-02" "2017-01-16" "2017-02-20" "2017-04-14" "2017-05-29" "2017-07-04"
[7] "2017-09-04" "2017-11-23" "2017-12-25"
R>

This shows the difference between the default US settlement calendar and the NYSE calendar which we selected explicitly.

Status

Still fairly new. Functional but e.g. several of the other QuantLib calendars still need to be ported.

Installation

The package can be installed from CRAN via

install.packages("RcppQuantuccia")

or if you prefer non-release development version these can be installed from GitHub via e.g.

remotes::install_github("eddelbuettel/rcppquantuccia")

or maybe just checkout the repository locally.

Authors

Dirk Eddelbuettel

License

GPL (>= 2)

Initially created: Thu Apr 19 20:20:12 CDT 2017
Last modified: Wed Apr 19 20:22:38 CDT 2017