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)