A new minor release RQuantLib
is now on CRAN
combines (some of) the quantitative analytics of QuantLib
with the R
statistical computing environment and language.
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.
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