RQuantLib 0.3.4

August 9, 2010
By

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

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

This follows the 0.3.3 release from last week
and has again a number of internal changes. All uses of objects from
external namespaces are now explicit as I removed the remaining using
namespace QuantLib;
. This makes things a little more verbose, but should
be much clearer to read, especially for those not yet up to speed on whether
a given object comes from any one of the Boost, QuantLib or Rcpp
namespaces. We also generalized an older three-dimensional
plotting function used for option surfaces — which had already been used in the
demo() code — and improved the code underlying this: arrays of
option prices and analytics given two input vectors are now computed at the
C++ level for a nice little gain in efficiency. This also illustrates the possible
improvements from working with the new Rcpp API that is
now used throughout the package,

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.

R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...



If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.