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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.
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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 error()
or length() out into prefixed-versions Rf_error()
and 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.
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