The new 0.4.6 release of RQuantLib arrived on CRAN and Debian earlier today. It is two-fold update: catching up QuantLib 1.14 while also updating to Boost 1.67 (and newer).
A special thanks goes to Josh for updating to the binary windows library in the rwinlib repository allowing us a seamless CRAN update.
The package needs some help, though. There are two open issues. First, while it builds on Windows, many functions currently throw errors. This may be related to upstream switching to a choice of C++11 or Boost smart pointers though this throws no spanners on Linux. So it may simply be that some of the old curve-building code shows its age. It could also be something completely different—but we need something with a bit of time, debugging stamina, at least a little C++ knowledge and a working Windows setup for testing. I have a few of the former attributes and can help, but no suitable windows (or mac, see below) machine. If you are, or can be, the person to help on Windows, please get in touch at this issue ticket.
Second, we simply have no macOS build. Simon has a similar binary repo but no time himself to work on building QuantLib for macOS with the required R-compatible toolchains. If you are on macOS, care about RQuantLib, and know how to build R packages (and how to deal with compilers etc in general) please consider helping. A little more is at this issue ticket.
Otherwise, this release was mostly about internal plus a little helper for holidays. The complete set of changes is listed below:
Changes in RQuantLib version 0.4.6 (2018-11-25)
Changes in RQuantLib code:
The code was updated for release 1.14 of QuantLib.
The code was updated for Boost 1.67 or later (#120 fixing #119).
Fewer examples and tests are running on Windows.
Several bond prixing examples corrected to use dayCounter.
Two new functions were added to add and remove (custom) holidays (#115).
The continuous integration setup was rewritten for containers.
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.
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