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
length() out into prefixed-versions
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.