RQuantLib 0.4.7: Now with corrected Windows library

December 11, 2018

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

A new version 0.4.7 of RQuantLib reached CRAN and Debian. Following up on the recent 0.4.6 release post which contained a dual call for help: RQuantLib was (is !!) still in need of a macOS library build, but also experienced issues on Windows.

Since then we set up a new (open) mailing list for RQuantLib and, I am happy to report, sorted that Windows issue out! In short, with the older g++ 4.9.3 imposed for R via Rtools, we must add an explicit C++11 flag at configuration time. Special thanks to Josh Ulrich for tireless and excellent help with testing these configurations, and to everybody else on the list!

QuantLib is a very comprehensice free/open-source library for quantitative finance, and RQuantLib connects it to the R environment and language.

This release re-enable most examples and tests that were disabled when Windows performance was shaky (due to, as we now know, as misconfiguration of ours for the windows binary library used). With the exception of the AffineSwaption example when running Windows i386, everything is back!

The complete set of changes is listed below:

Changes in RQuantLib version 0.4.7 (2018-12-10)

  • Changes in RQuantLib tests:

    • Thanks to the updated #rwinlib/quantlib Windows library provided by Josh, all tests that previously exhibited issues have been re-enabled (Dirk in #126).
  • Changes in RQuantLib documentation:

    • The CallableBonds example now sets an evaluation date (#124).

    • Thanks to the updated #rwinlib/quantlib Windows library provided by Josh, examples that were set to dontrun are re-activated (Dirk in #126). AffineSwaption remains the sole holdout.

  • Changes in RQuantLib build system:

    • The src/Makevars.win file was updated to reflect the new layout used by the upstream build.

    • The -DBOOST_NO_AUTO_PTR compilation flag is now set.

As stated above, we are still looking for macOS help though. Please get in touch on-list if you can help build a library for Simon’s recipes repo.

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 new rquantlib-devel mailing list. 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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