RcppQuantuccia 0.0.3

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A maintenance release of RcppQuantuccia arrived on CRAN earlier today.

RcppQuantuccia brings the Quantuccia header-only subset / variant of QuantLib to R. At the current stage, it mostly offers date and calendaring functions.

This release was triggered by some work CRAN is doing on updating C++ standards for code in the repository. Notably, under C++11 some constructs such ptr_fun, bind1st, bind2nd, … are now deprecated, and CRAN prefers the code base to not issue such warnings (as e.g. now seen under clang++-9). So we updated the corresponding code in a good dozen or so places to the (more current and compliant) code from QuantLib itself.

We also took this opportunity to significantly reduce the footprint of the sources and the installed shared library of RcppQuantuccia. One (unexported) feature was pricing models via Brownian Bridges based on quasi-random Sobol sequences. But the main source file for these sequences comes in at several megabytes in sizes, and allocates a large number of constants. So in this version the file is excluded, making the current build of RcppQuantuccia lighter in size and more suitable for the (simpler, popular and trusted) calendar functions. We also added a new holiday to the US calendar.

The complete list changes follows.

Changes in version 0.0.3 (2019-08-19)

  • Updated Travis CI test file (#8)).

  • Updated US holiday calendar data with G H Bush funeral date (#9).

  • Updated C++ use to not trigger warnings [CRAN request] (#9).

  • Comment-out pragmas to suppress warnings [CRAN Policy] (#9).

  • Change build to exclude Sobol sequence reducing file size for source and shared library, at the cost of excluding market models (#10).

Courtesy of CRANberries, there is also a diffstat report relative to the previous release. More information is on the RcppQuantuccia page. Issues and bugreports should go to the GitHub issue tracker.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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