RQuantLib 0.4.4: Several smaller updates

November 8, 2017
By

(This article was first published on Thinking inside the box , and kindly contributed to R-bloggers)

A shiny new (mostly-but-not-completely maintenance) release of RQuantLib, now at version 0.4.4, arrived on CRAN overnight, and will get to Debian shortly. This is the first release in over a year, and it it contains (mostly) a small number of fixes throughout. It also includes the update to the new DateVector and DatetimeVector classes which become the default with the upcoming Rcpp 0.12.14 release (just like this week’s RcppQuantuccia release). One piece of new code is due to François Cocquemas who added support for discrete dividends to both European and American options. See below for the complete set of changes reported in the NEWS file.

As with release 0.4.3 a little over a year ago, we will not have new Windows binaries from CRAN as I apparently have insufficient powers of persuasion to get CRAN to update their QuantLib libraries. So we need a volunteer. If someone could please build a binary package for Windows from the 0.4.4 sources, I would be happy to once again host it on the GHRR drat repo. Please contact me directly if you can help.

Changes are listed below:

Changes in RQuantLib version 0.4.4 (2017-11-07)

  • Changes in RQuantLib code:

    • Equity options can now be analyzed via discrete dividends through two vectors of dividend dates and values (Francois Cocquemas in #73 fixing #72)

    • Some package and dependency information was updated in files DESCRIPTION and NAMESPACE.

    • The new Date(time)Vector classes introduced with Rcpp 0.12.8 are now used when available.

    • Minor corrections were applied to BKTree, to vanilla options for the case of intraday time stamps, to the SabrSwaption documentation, and to bond utilities for the most recent QuantLib release.

Courtesy of CRANberries, there is also a diffstat report for the this release. As always, more detailed information is on the RQuantLib page. Questions, comments etc should go to the rquantlib-devel mailing list off the R-Forge page. Issue tickets can be filed at the GitHub repo.

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

To leave a comment for the author, please follow the link and comment on their blog: Thinking inside the box .

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