RQuantLib 0.3.2 released

January 14, 2010
By

(This article was first published on dirk.eddelbuettel, and kindly contributed to R-bloggers)

A new version of RQuantLib
(a package combining the quantitative analytics of
QuantLib with the
R statistical computing environment and language)
is now out at CRAN and in Debian (where it depends on the 1.0.0
beta of
QuantLib that is currently in the NEW
queue with its new library version). This RQuantLib
release works with either the
current release 0.9.9 as well as with the just-released first beta of QuantLib 1.0.0.

This versions brings a few cleanups due to minor
Rcpp changes (in
essence: we now define the macro R_NO_REMAP before including R’s
headers and this separate non-namespaced functions like error()
or length() out into prefixed-versions Rf_error()
and Rf_length() which is a good thing).

It also adds a number of
calendaring and holiday utilities that Khanh just added: tests for weekend,
holiday, endOfMonth as well dayCount, date advancement and year fraction
functions commonly used in fixed income.

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

To leave a comment for the author, please follow the link and comment on his blog: dirk.eddelbuettel.

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