RQuantLib 0.4.3: Lots of new Fixed Income functions

A release of RQuantLib is now on CRAN and in Debian. It contains a lot of new code contributed by Terry Leitch over a number of pull requests. See below for full details but the changes focus on Fixed Income and Fixed Income Derivatives, and cover swap, discount curves, swaptions and more.

In the blog post for the previous release 0.4.2, we noted that a volunteer was needed for a new Windows library build of QuantLib for Windows to replace the outdated version 1.6 used there. Josh Ulrich stepped up, and built them. Josh and I tried for several month to get the win-builder to install these, but sadly other things took priority and we were unsuccessful. So this release will not have Windows binaries on CRAN as QuantLib 1.8 is not available there. Instead, you can use the ghrr drat and do

if (!require("drat")) install.packages("drat")
drat::addRepo("ghrr")
install.packages("RQuantLib")

to fetch prebuilt Windows binaries from the ghrr drat. Everybody else gets sources from CRAN.

Changes in RQuantLib version 0.4.3 (2016-08-19)

• Changes in RQuantLib code:

  • Discount curve creation has been made more general by allowing additional arguments for day counter and fixed and floating frequency (contributed by Terry Leitch in #31, plus some work by Dirk in #32).

  • Swap leg parameters are now in combined variable and allow textual description (Terry Leitch in #34 and #35)

  • BermudanSwaption has been modfied to take option expiration and swap tenors in order to enable more general swaption structure pricing; a more general search for the swaptions was developed to accomodate this. Also, a DiscountCurve is allowed as an alternative to market quotes to reduce computation time for a portfolio on a given valuation date (Terry Leitch in #42 closing issue #41).

  • A new AffineSwaption model was added with similar interface to BermudanSwaption but allowing for valuation of a European exercise swaption utlizing the same affine methods available in BermudanSwaption. AffineSwaption will also value a Bermudan swaption, but does not take rate market quotes to build a term structure and a DiscountCurve object is required (Terry Leitch in #43).

  • Swap tenors can now be defined up to 100 years (Terry Leitch in #48 fising issue #46).

  • Additional (shorter term) swap tenors are now defined (Guillaume Horel in #49, #54, #55).

  • New SABR swaption pricer (Terry Leitch in #60 and #64, small follow-up by Dirk in #65).

  • Use of Travis CI has been updated and switch to maintained fork of deprecated mainline.

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.