A new release (now at version 0.3.3) of RQuantLib
is now on CRAN
combines (some of) the quantitative analytics of
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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