A new release (now at version 0.3.3) of RQuantLib
is now on CRAN
and in Debian
combines (some of) the quantitative analytics of QuantLib
with the R
statistical computing environment and language.
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.
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