2024-02-01 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.21 * configure.ac: Idem * configure: Idem * .github/workflows/ci.yaml (jobs): Update to checkout@v4, switch to using r-ci-setup action 2024-01-25 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll micro release and date * .github/workflows/windows.yaml: Dialed down to r-release only 2024-01-25 Jeroen Ooms * tools/winlibs.R: Generalized to also support arm64 on Windows * src/Makevars.win: Idem * src/utils.cpp: Accomate cmake-generated version string * .github/workflows/windows.yaml: Added 2024-01-06 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll micro release and date 2024-11-06 Jeroen Ooms * configure.ac: Use universal build macOS build of QuantLib 1.31.1 * configure: Idem 2023-11-26 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.20 * configure.ac: Idem * configure: Idem * man/AffineSwaption.Rd: Add missing `\code` before stray `{}` * man/BermudanSwaption.Rd: Ditto * man/SabrSwaption.Rd: Ditto * src/affine.cpp (calibrateModel2): Adjust printf format string * src/bermudan.cpp (calibrateModel): Ditto * man/CallableBond.Rd: Wrap example in 'if (interactive())' to not run afould example computation time * src/Makevars.in (#CXX_STD): No longer explicitly set C++14 which is the default since R 4.2.0; if needed uncomment the line * src/RcppExports.cpp: Regenrated under Rcpp 1.0.11.5 to avoid a warning from -Wformat-security 2023-09-20 Dirk Eddelbuettel * .github/workflows/docker.yaml (jobs): Update to actions/checkout@v4 2023-08-07 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.19 * configure.ac: Idem * configure: Idem * man/AffineSwaption.Rd: Add \dontrun{} to example * man/BermudanSwaption.Rd: Idem * man/Bond.Rd: Idem * man/DiscountCurve.Rd: Idem * man/EuropeanOptionArrays.Rd: Idem * src/Makevars.win: Remove useful-but-verboten compiler option to silence overly verbose output due to Boost headers 2023-08-05 Dirk Eddelbuettel * configure.ac: Update configure checks * configure: Idem 2023-07-25 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll micro release and date * inst/tinytest/test_schedule.R: Adjust three tests for QuantLib 1.31 * README.md: Mention qlcal, remove note about RcppQuantuccia 2023-06-28 Dirk Eddelbuettel * README.md: Add r-universe badge 2023-06-27 Dirk Eddelbuettel * .github/workflows/docker.yaml: Update actions to current version 2023-05-01 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.18 * src/utils.cpp: Use Rcpp::stop instead of throw 2023-04-29 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll micro release and date 2023-04-28 Jeroen Ooms * src/Makevars.win: Refactor and simplify for current use * tools/winlibs.R: Update to QuantLib 1.29 download 2023-04-27 Jeroen Ooms * configure.ac: Update build to fetch arm|x86_64 macOS artifacts * configure: Idem * .github/workflows/ci.yam: Re-enable macOS tests * inst/tinytest/test_dates.R: Skip one test file on macOS 2023-04-20 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll micro release and date * src/sabr.cpp (swptnVolCube): Make SabrSwaptionVolatilityCube change conditional on QuantLib 1.30 or later, else use SwaptionVolCube1 * R/RcppExports.R: Updated setLoadAction from updated Rcpp 2023-04-19 Dirk Eddelbuettel * src/sabr.cpp (swptnVolCube): Update from SwaptionVolCube1 to SabrSwaptionVolatilityCube * src/vanilla.cpp (americanOptionEngine): Tweaked deprecation warnings (as in QL's own test file) to continue with dividend option 2023-01-13 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release 2023-01-06 Dirk Eddelbuettel * R/arrays.R (plotOptionSurface): Provide default argument in case none is given by user 2023-01-06 Duncan Murdoch * R/arrays.R: Switch rgl::rgl.* to rgl::*3d functions * demo/OptionSurfaces.R: Idem 2022-10-25 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.17 * configure.ac: Idem * configure: Idem * src/Makevars.in (CXX_STD): Switch to C++14 * src/Makevars.win (CXX_STD): Idem * .github/workflows/ci.yaml (jobs): Update to actions/checkout@v3 2022-05-05 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.16 * configure.ac: Idem * configure: Idem 2022-05-04 Dirk Eddelbuettel * R/affine.R: Use inherits instead of class * R/bermudan.R: Idem * R/sabr.R: Idem 2022-05-03 Dirk Eddelbuettel * docker/ci/Dockerfile: Small update * docker/run/Dockerfile: Idem 2022-05-02 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release * man/SabrSwaption.Rd: Move evaluation date of example by a day * .github/workflows/docker.yaml: Only run on (coarse) schedule 2022-03-15 Kai Lin * src/utils.cpp (getDayCounter): change deprecated Actual365NoLeap() to Actual365Fixed(Actual365Fixed::NoLeap) * man/Enum.Rd: associated documentation change * man/BondUtilities.Rd: remove mentions of daycounter deprecation, remove mentions of compiler directives RQUANTLIB_USE_ACTUAL365NOLEAP and RQUANTLIB_USE_ACTUALACTUAL 2021-11-30 Kai Lin * man/Enum.Rd: Update and extend documentation for DayCounter 2022-01-19 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.15 * configure.ac: Idem * configure: Idem * R/zzz.R: In interactice mode, display versions of RQuantLib at startup 2022-01-18 Dirk Eddelbuettel * src/bonds.cpp: Updated for Quantlib 1.25 2021-12-28 Dirk Eddelbuettel * README.md: Remove unused continuous integration artifact and badge 2021-12-03 Dirk Eddelbuettel * src/utils.cpp (getDayCounter): Use Rcpp::stop on error 2021-11-30 Kai Lin * src/utils.cpp (getDayCounter): Additional day counters 2021-11-29 Dirk Eddelbuettel * src/utils.cpp (getDayCounter): Correct Thirty360() use 2021-11-04 Dirk Eddelbuettel * src/calendars.cpp (getBusinessDayList): Condition businessDayList use on QuantLib 1.18 or newer 2021-11-03 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release * src/calendars.cpp: Add getBusinessDayList * R/calendars.R: Add businessDayList * NAMESPACE: Export both * man/Calendars.Rd: Documentation 2021-11-02 Dirk Eddelbuettel * R/calendars.R: Add calendars vector * man/Calendars.Rd: Add documentation 2021-11-01 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release * src/calendars.cpp (getCalendar): Add Chile and Null 2021-10-26 Dirk Eddelbuettel * README.md: Add 'See Also' to RcppQuantuccia 2021-10-06 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.14 * configure.ac: Idem * configure: Idem * configure.ac: Updated via 'autoupdate' and 'autoreconf --warnings=obsolete' to bring to autoconf 2.69 standards 2021-09-29 Dirk Eddelbuettel * src/calendars.cpp (getCalendar): Add Austria (plus Exchange), Bespoke, Botswana, Israel (plus TASE), Romania (plus BVB), Thailand * src/calendars.cpp (getCalendar): Protect Austria and Romania by an #ifdef for the QuantLib version to permit CRAN builds under older QL * .github/workflows/ci.yaml (env): Add edd/misc PPA for CI * .github/workflows/docker.yaml (on): Restrict Docker rebuilds to pushes to master branch 2021-09-28 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release * src/calendars.cpp (getCalendar): Support new UnitedStates calendars 'LiborImpact' and 'FederalReserve' * src/calendars.cpp (getCalendar): Support new calendars 'France' (same as 'France/Settlement') and 'France/Exchange' 2021-09-26 Dirk Eddelbuettel * .github/workflows/docker.yaml: Add action to build and push containers with cron set to monthly schedule 2021-09-02 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.13 * configure.ac: Idem * configure: Idem * man/*.R: Update remaining http:// URLs to https:// * man/ConvertibleBond.Rd: Wrap \dontrun{} around example as it runs twice as long as CRAN preference for five second examples * man/FittedBondCurve.Rd: Idem 2021-08-26 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release * src/bonds.cpp (fittedBondCurveEngine): Use Actual365Fixed() instead of deprecated ActualActual() * src/discount.cpp (discountCurveEngine): Idem * src/utils.cpp (rebuildCurveFromZeroRates): Idem * src/zero.cpp (zbtyield): Idem * src/utils.cpp (buildTermStructure): Switch to ActualActual::Convention::ISDA in ctor following (getDayCounter): Condition away ActualActual() and Thirty360() * man/BondUtilities.Rd: Document that ActualActual() and Thirty360() can be enabled locally via #define 2021-08-17 Dirk Eddelbuettel * man/Enum.Rd: Correct eleven-year old typo 2021-07-14 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release * README.md: Add note about usability with new QuantLib versions 2021-06-01 Dirk Eddelbuettel * DESCRIPTION (URL): Add repo to URL field 2021-01-18 Dirk Eddelbuettel * .github/workflows/ci.yaml: Add CI runner using r-ci * README.md: Add new badge 2020-06-16 Dirk Eddelbuettel * .travis.yml: Switch to bionic, change to derive package and version 2020-04-02 Dirk Eddelbuettel * README.md: Correct one badge URL 2020-04-01 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.12 * configure.ac: Extract version from DESCRIPTION * configure: Rebuilt * README.md: Add 'last commit' badge, edited binaries section 2020-03-23 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release * src/affine.cpp: Switch from depecreated BlackCalibrationHelper to CalibrationHelper() * src/bermudan.cpp: Idem * src/hullwhite.cpp: Idem * src/calendars.cpp: Switch from deprecated static method to standard method for getHolidayList() * src/curves.cpp: No longer use deprecated tolerance argument 2020-03-20 Dirk Eddelbuettel * README.md: Add Debian badge 2020-01-15 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.11 * configure.ac: Mark as 0.4.11 * configure: Rebuilt 2020-01-14 Dirk Eddelbuettel * src/utils.cpp (getCallabilitySchedule): Generalize support for Bond::Price to fall back to Callability::Price for QL < 1.17 2020-01-13 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release * src/utils.cpp (makeOption): Update from now-deprecated FDEuropeanEngine to FdBlackScholesVanillaEngine (getCallabilitySchedule): Update from now-deprecated Callability::Price to Bond::Price * src/vanilla.cpp (americanOptionEngine): Update from now-deprecated FDDividendAmericanEngine and FDAmericanEngine to FdBlackScholesVanillaEngine 2019-11-17 Dirk Eddelbuettel * inst/tinytest/*: Converted from RUnit to tinytest * inst/unitTests/*: Idem * tests/tinytest.R: Idem * tests/doRUnit.R: Idem * docker/ci/Dockerfile: Add tinytest, remove RUnit 2019-08-24 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor release * src/calendars.cpp (getCalendar): Allow for Null calendar 2019-08-07 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.10 * configure.ac: Mark as 0.4.10 * configure: Rebuilt 2019-08-06 Dirk Eddelbuettel * docker/ci/Dockerfile: Add -t unstable to get QuantLib 1.16 2019-08-06 Jeroen Ooms * src/Makevars.win: Updated for QuantLib 1.16 (for current and next Window toolchain) * tools/winlibs.R: Idem 2019-05-15 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.9 * configure.ac: Mark as 0.4.9 * configure: Rebuilt 2019-05-14 Dirk Eddelbuettel * DESCRIPTION (Date, Version): New minor version * src/asian.cpp: Use QuantLib::ext namespace for shared_ptr * src/bermudan.cpp: Idem * src/calendars.cpp: Idem * inst/include/rquantlib_internal.h: Idem 2019-03-17 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.8 * configure.ac: Mark as 0.4.8 * configure: Rebuilt 2019-03-16 Dirk Eddelbuettel * src/calendars.cpp: Use QuantLib::ext for shared_ptr * src/curves.cpp: Idem * src/discount.cpp: Idem * src/hullwhite.cpp: Idem * src/implieds.cpp: Idem * src/sabr.cpp: Idem * src/schedule.cpp: Idem * src/utils.cpp: Idem * src/vanilla.cpp: Idem * src/zero.cpp: Idem * src/*: Removed Emacs formatting header line * inst/include/*: Idem * .editorconfig: Added to provide consistent settings * .Rbuildignore: Exclude .editorconfig 2019-03-15 Dirk Eddelbuettel * inst/include/rquantlib_internal.h: Include ql/shared_ptr.hpp> * src/affine.cpp: Use QuantLib::ext namespace for shared_ptr * src/asian.cpp: Idem * src/barrier_binary.cpp: Idem * src/bermudan.cpp: Idem * src/bonds.cpp: Idem 2019-03-14 Dirk Eddelbuettel * configure.ac: Correct use of AC_DEFUN (leaves configure unaffected) 2019-01-12 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New minor version * R/arrays.R (plotOptionSurface): Call to utils::globalVariables() now outside function where it triggered locked namespace error 2018-12-24 Dirk Eddelbuettel * README.md: Updates to README.me 2018-12-10 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.7 * configure.ac: Mark as 0.4.7 * configure: Rebuilt 2018-12-09 Dirk Eddelbuettel * man/AffineSwaption.Rd: Re-comment-out example for i386 2018-12-08 Dirk Eddelbuettel * man/*.Rd: Remove remaining SVN commit tag identifiers 2018-12-07 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor version * src/Makevars.win: Reflect updated directory layout in updated Windows library * man/AffineSwaption.Rd: Restore example now that Windows works * man/BermudanSwaption.Rd: Idem * man/DiscountCurve.Rd: Idem * tools/build_RQuantLib.sh: Added build script by Josh (with a big thank you for setting it up and running a series of builds) 2018-12-03 Dirk Eddelbuettel * man/Bond.Rd: Restore example with correctly-built Windows library * man/FixedRateBond.Rd: Idem * man/FloaringRateBond.Rd: Idem * man/SabrSwaption.Rd: Idem * man/ZeroCouponBond.Rd: Idem * tests/RQuantLib.R: Restore tests for Windows * tests/doRUnit.R: Idem 2018-11-28 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor version * man/CallableBond.Rd: Set evaluation date * src/Makevars.in (PKG_CXXFLAGS): Add -DBOOST_NO_AUTO_PTR * src/Makevars.win (PKG_CXXFLAGS): Idem * inst/NEWS.Rd: A few post-release edits 2018-11-25 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.6 2018-11-22 Dirk Eddelbuettel * configure.ac: Test for QuantLib 1.14 * configure: Idem * tools/winlibs.R: Updated for QL 1.14 build by Josh * man/Bond.Rd: Do not run examples to avoid Windows issue * man/FixedRateBond.Rd: Idem * man/FloaringRateBond.Rd: Idem * man/SabrSwaption.Rd: Idem * man/ZeroCouponBond.Rd: Idem * tests/RQuantLib.R: Test for Windows, only run a portion of tests * tests/doRUnit.R: Test for Windows * src/Makevars.win: Set -Wno-deprecated-declarations options to make the build less noisy 2018-11-20 Dirk Eddelbuettel * man/Bond.Rd: Example now uses dayCounter not accrualDayCounter * man/FixedRateBond.Rd: Idem * tests/RQuantLib.R: Idem * tests/RQuantLib.Rout.save: Idem 2018-11-11 Dirk Eddelbuettel * src/Makevars.in (PKG_CXXFLAGS): No longer need the opt-in for -DRCPP_NEW_DATE_DATETIME_VECTORS which is now on by default 2018-10-28 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor version * src/asian.cpp: Patch fron Debian #911957 to support Boost 1.67 * src/barrier_binary.cpp: Idem * src/implieds.cpp: Idem * src/vanilla.cpp: Idem * src/affine.cpp: Use BlackCalibrationHelper not CalibrationHelper * src/bermudan.cpp: Idem * src/hullwhite.cpp: Idem * docker/ci/Dockerfile: Moved from ../Dockerfile * docker/run/Dockerfile: Added, providing run-time * .travis.yml: Use rquantlib/ci for Travis CI 2018-08-26 Dirk Eddelbuettel * .travis.yml: Remove unneeded compiler and language tags 2018-08-22 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor version * src/calendars.cpp (addHolidays, removeHolidays): New functions * man/Calendars.Rd: Added documentation 2018-08-16 Dirk Eddelbuettel * .travis.yml: Prettification for Travis file 2018-08-14 Dirk Eddelbuettel * docker/Dockerfile: Add Dockerfile to create test container * .travis.yml: Adapted to use Docker container 2018-08-13 Dirk Eddelbuettel * .travis.yml: Try 20 minute timeout parameter 2018-08-11 Dirk Eddelbuettel * README.md: Updated to mention renewed Windows support 2018-08-10 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.5 * configure.ac: Mark as 0.4.5 * configure: Rebuilt * src/Makevars.in: Set CXX_STD=CXX11 * src/Makevars.win: Idem 2018-04-29 Dirk Eddelbuettel * man/AffineSwaption.Rd: Do not run example as win32 is fragile * man/BermudanSwaption.Rd: Idem * man/DiscountCurve.Rd: Idem * .Rbuildignore: Also ignore .tar.gz * inst/include/RQuantLib_RcppExports.h: Updated via current Rcpp::compileAttributes() version * src/RcppExports.cpp: Idem 2018-04-27 Jeroen Ooms * src/Makevars.win: Rewritten using rwinlib repo for Quantlib library * tools/winlibs.R: New helper script to gather libraries from repo * DESCRIPTION: Remove 'OS_type: unix' 2018-01-07 Dirk Eddelbuettel * src/affine.cpp (affineWithRebuiltCurveEngine): Remove declaration and assignment of one unused variable * src/bermudan.cpp (bermudanFromYieldEngine): Idem * src/sabr.cpp (sabrengine): Idem (twice); also rename one variable ('todaysDate') to its parameter name ('tradeDate') 2018-01-01 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New minor version * src/affine.cpp: Use #include * src/asian.cpp: Idem * src/barrier_binary.cpp: Idem * src/bermudan.cpp: Idem * src/bonds.cpp: Idem * src/calendars.cpp: Idem * src/curves.cpp: Idem * src/dates.cpp: Idem * src/daycounter.cpp: Idem * src/discount.cpp: Idem * src/hullwhite.cpp: Idem * src/implieds.cpp: Idem * src/modules.cpp: Idem * src/sabr.cpp: Idem * src/schedule.cpp: Idem * src/utils.cpp: Idem * src/vanilla.cpp: Idem * src/zero.cpp: Idem * src/deprecated/rquantlib.h: Moved from src/ 2017-11-07 Dirk Eddelbuettel * DESCRIPTION (Version, Date): New release 0.4.4 * configure.ac: Mark as 0.4.4 * configure: Rebuilt * README.md: Minor edits * src/utils.cpp: Corrected deprecation of Actual365NoLeap() 2017-10-15 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor version * src/utils.cpp (getDayCounter): Deprecate Actual365NoLeap() as needed for use with QuantLib 1.11 * man/Enum.Rd: Mark as deprecated Actual365NoLeap() * man/BondUtilities.Rd: Note that Actual365NoLeap() deprecated 2017-08-03 Dirk Eddelbuettel * DESCRIPTION (Version, Date): Roll minor version and date * NAMESPACE: Set .registration=TRUE * R/RcppExports.R: Updated again with .registration=TRUE 2017-08-02 Dirk Eddelbuettel * src/affine.cpp (affineWithRebuiltCurveEngine): Correction to BKTree * src/RcppExports.cpp: Updated with current Rcpp Attributes * inst/include/RQuantLib_RcppExports.h: Ditto * R/RcppExports.R: Ditto 2017-04-16 Dirk Eddelbuettel * .travis.yml (before_install): Use https to download 2016-11-24 Dirk Eddelbuettel * inst/include/rquantlib_impl.h (Rcpp): Adjust to new date(time)Vector classes in Rcpp 0.12.8 * inst/unitTests/cpp/dates.cpp: Add one explicit copy where we used to have implicit copy * src/Makevars.in (PKG_CXXFLAGS): Set define for new date(time)vector classes to work with Rcpp 0.12.8; has no effect on earlier versions 2016-10-31 Dirk Eddelbuettel * src/vanilla.cpp (europeanOptionEngine, americanOptionEngine): Correct use of divtimes in case of no high-res. times in QuantLib; only use duration type when high-res time defined 2016-10-28 Dirk Eddelbuettel * src/vanilla.cpp (europeanOptionEngine, americanOptionEngine): Use Nullable<> on dividend parameters, other small rewrites * R/options.R: Corresponding changes 2016-10-24 Francois Cocquemas * src/vanilla.cpp: Adjust intra-daily part (via patch by Dirk) 2016-10-23 Dirk Eddelbuettel * man/BermudanSwaption.Rd: Add links to SabrSwaption 2016-10-22 Francois Cocquemas * R/option.R: Support discrete dividends for European and American options * src/vanilla.cpp: Ditto * man/EuropeanOption.Rd: Documentation update * man/AmericanOption.Rd: Ditto * tests/RQuantLib.R: Added test 2016-08-21 Dirk Eddelbuettel * DESCRIPTION(Version): Rolled minor version to 0.4.3.1 * configure.ac: Require at least QuantLib 1.8 * configire: Rebuilt * NAMESPACE: Also import zoo from zoo * man/FittedBondCurve.Rd: No longer need to test for (imported) zoo 2016-08-19 Dirk Eddelbuettel * DESCRIPTION (Version): Release 0.4.3 * DESCRIPTION (OS_type): Set to 'OS_type: unix' as CRAN has not installed an updated QuantLib library despite repeated emailed offers offer several months. A Windows binary will be provided. * configure.ac: Mark as 0.4.3 * configure: Rebuilt * README.md: Add Terry to Authors, add Installation note, add link to Contributing document 2016-08-12 Dirk Eddelbuettel * R/inline.R (.onLoad): Check for quantlib-config before using it 2016-08-04 Dirk Eddelbuettel * DESCRIPTION: Roll minor version * data/tsQuotes.RData: More explicit name and loading * data/vcube.Rdata: Idem * R/datasets.R: Dataset documentation * man/tsQuotes.Rd: Idem * man/vcube.Rdata: Idem * .travis.yml: Switch to using run.sh for Travis CI 2016-07-20 Terry Leitch * R/sabr.R: New function for SABR swaption model * src/sabr.cpp: C++ implementation for SABR model * inst/shiny/SabrSwaption/*: Shiny application for SABR model * data/rqlib.RData: Sample data 2016-05-29 Dirk Eddelbuettel * DESCRIPTION (Version): Increased patch version and Date * .travis.yml: Minor edits 2016-05-27 Guillaume Horel * inst/unitTests/runit.businessdayconvention.R: New tests * inst/unitTests/runit.schedule.R: Small cleanup 2016-05-19 Guillaume Horel * src/curves.cpp: Added extra swap tenors * man/DiscountCurve.Rd: Idem 2016-05-19 Terry Leitch * src/curve.cpp: Added swap tenors from 40-100 years to curve build * src/discount.cpp: Increased max date from 2099 to 2150 * man/DiscountCurve.Rd: Updated doc to reflect new tenor choices 2016-05-12 Dirk Eddelbuettel * .travis.yml (script): Turn travis_wait back on 2016-05-09 Terry Leitch * NAMESPACE: Updated to refelct new methods for affine swaption * R/affine.R: New generic swaption model based on bermudan affine model * src/affine.cpp: New engine for affine swaption model * man/AffineSwaption.Rd: created * R/bermudan.R: Swaption model modified to take more general tenor & expiration dates and curve input * src/bermudan.cpp: Swaptions for fit selection & yield curve fit moved up into bermudan.R * man/BermudanSwaption.Rd: Modified to reflect DiscountCurve option and example updated 2016-04-02 Dirk Eddelbuettel * R/zzz.R: Correct version comparison check 2016-03-26 Dirk Eddelbuettel * Contributing.md: New files 2016-03-25 Dirk Eddelbuettel * R/discount.R: Minor edits and cleanups * src/discount.cpp: Idem * man/DiscountCurve.Rd: Minor correction 2016-03-28 Terry Leitch * R/bond.R: Added converters for float frequencies * R/discount.R: nUse float frequency textual descriptions, pass float and fixed as one new combined parameter for swap legs * src/bermudan.cpp: Use new parameter setting * R/bermudan.R: Support old default values 2016-03-19 Dirk Eddelbuettel * R/discount.R: Restored standard indentation style, untabified * inst/include/rquantlib_internal.h: Idem * src/discount.cpp: Idem * src/curves.cpp: Idem * man/DiscountCurve.Rd: Idem, corrected parameter naming * README.md: Use canonical CRAN URL to please R-devel CMD check 2016-03-17 Terry Leitch * R/discount.R: Support arguments for day counter, frequency and floating frequency to enable more flexible curve building * inst/include/rquantlib_internal.h: Idem * src/discount.cpp: Idem * src/curves.cpp: Idem; new getRateHelper() function 2015-12-03 Dirk Eddelbuettel * DESCRIPTION: Release 0.4.2 * configure.ac: Mark as 0.4.2 * configure: Rebuilt 2015-12-02 Dirk Eddelbuettel * R/zzz.R (.onAttach): Add detection of QuantLib version and intra-day capability and warn via startup message (if not interactive) 2015-11-30 Dirk Eddelbuettel * src/implieds.cpp: Use intra-day time calculation if available with QuantLib (>= 1.7) has been compiled for it * .travis.yml: Switch to using Ubuntu 14.04 aka 'trusty'; switch to my copy of r-travis to use 'apt-get install -y'; run without travis_wait 2015-11-29 Dirk Eddelbuettel * src/utils.cpp: New helper functions getQuantLibVersion() and getQuantLibCapabilties() which reports configuration options * man/getQuantLibVersion.Rd: New manual page (via roxygen2) * man/getQuantLibCapabilities.Rd: Idem 2015-11-28 Dirk Eddelbuettel * src/asian.cpp: Use intra-day time calculation if available with QuantLib (>= 1.7) has been compiled for it * src/barrier_binary.cpp: Idem 2015-11-26 Dirk Eddelbuettel * DESCRIPTION (Version): Roll Date and Version * src/vanilla.cpp: Use intra-day time calculation if available with QuantLib (>= 1.7) has been compiled for it * man/BondUtilities.Rd: Add 'Monthly' to documentation * .travis.yml: Wrapped in 'travis_wait' to avoid timeout * tests/doRUnit.R: Updated 2015-10-29 Dirk Eddelbuettel * R/bond.R: Add missing parameter 'Monthly' to freq arguments in function matchFrequency() (issue ticket #19) 2015-09-11 Dirk Eddelbuettel * DESCRIPTION: Release 0.4.1 2015-09-10 Dirk Eddelbuettel * NAMESPACE: Added more new S3method declarations * R/arrays.R (plotOptionSurface): Use requireNamespace to condition on the optional rgl package * README.md: Added badges 2015-07-07 Dirk Eddelbuettel * R/arrays.R (plotOptionSurface): Change from require() to the now-preferred requireNamespace() * NAMESPACE: Added more explicit S3method() registrations 2015-02-22 Dirk Eddelbuettel * .travis.yml (install): Now use only r-cran-* binary packages 2015-02-21 Dirk Eddelbuettel * .travis.yml (install): Use more r-cran-* packages from ppa:edd/misc 2015-02-12 Dirk Eddelbuettel * src/Makevars.win: Tweak suggested by Jeroen (cf GitHub issue #12) 2015-02-11 Dirk Eddelbuettel * .travis.yml (install): Switch to using ppa:edd/misc for QuantLib debs 2014-12-03 Dirk Eddelbuettel * DESCRIPTION: Bump dev version, add Suggests: shiny * .travis.yml: Add shiny as Suggests: are needed by R CMD check * inst/shiny/DiscountCurve/ui.R: UI part of simple shiny app * inst/shiny/DiscountCurve/server.R: Server part of shiny app * demo/ShinyDiscountCurves.R: New demo() wrapper for shiny app 2014-12-01 Dirk Eddelbuettel * DESCRIPTION: Release 0.4.0 * DESCRIPTION: Update to note we need QL 1.4.0 or later * configure.ac: Mark as 0.4.0, allow for newer g++ versions * configure: Rebuilt 2014-11-29 Dirk Eddelbuettel * inst/NEWS.Rd: Expanded reflecting changes since last release 2014-11-27 Dirk Eddelbuettel * inst/NEWS.Rd: Added -- better late than never * man/Calendars.Rd: Add documentation for advanceDate * man/Schedule.Rd: Add standard reference to QuantLib to the details section (which was empty) 2014-11-07 Dirk Eddelbuettel * .travis.yml: Call via travis_wait to allow for potential timeout * NAMESPACE: Also export advanceDate() 2014-11-07 Michele Salvadore * DESCRIPTION: New minor version * NAMESPACE: Export Schedule * R/schedule.R: Added Schedule function to expose the QuantLib::Schedule to R * man/schedule.Rd: Ditto * src/schedule.cpp: Ditto 2014-10-30 Dirk Eddelbuettel * NAMESPACE: Tighten exportPattern for .default as suggested by Bill Dunlap 2014-10-29 Michele Salvadore * R/bond.R: Added a price parameter to FixedRateBond to calculate based on clean price * src/bonds.cpp: new function wrapping price based calculation * man/Bond.Rd: updated documentation and examples * man/FixedRateBond.Rd: Ditto * tests/RQuantLib.R: Corresponding test update * tests/RQuantLib.Rout.save: Ditto 2014-10-27 Dirk Eddelbuettel * DESCRIPTION: New minor version * src/bonds.cpp: Remove last SEXP instances in function interfaces * src/hullwhite.cpp: Idem * src/utils.cpp: Idem * inst/include/rquantlib_internal.h: Updated accordingly 2014-10-26 Dirk Eddelbuettel * src/discount.cpp: Curve exported in 'table' object now advances by roughly one business months, also switched to using STL containers grown and then exported back to R * inst/include/rquantlib_internal.h: Declare advanceDate() function * man/Bond.Rd: Re-set evaluation date in bond example 2014-10-25 Dirk Eddelbuettel * inst/unitTests/runit.dates.R: R side of new date conversion tests * inst/unitTests/cpp/dates.cpp: C++ side of new date conversion tests * R/unitTest.R: Added new support function unitTestSetup() * NAMESPACE: Also import sourceCpp from Rcpp 2014-10-24 Dirk Eddelbuettel * src/bonds.cpp: Use the calendar from the RQL context * src/zero.cpp: Ditto 2014-10-23 Dirk Eddelbuettel * src/dates.cpp (advanceDate): Use a calendar from the RQL context 2014-10-22 Dirk Eddelbuettel * inst/include/rquantlib_impl.h: New header with implementations for as<>() and wrap(), currently only for Date mapping between QL and R * inst/include/rquantlib_wrappers.h: Reduced to declarations only * inst/include/RQuantLib.h: Include new header rquantlib_impl.h if and only if a #define is set accordingly * src/dates.cpp: Include new header rquantlib_impl.h to have it in default build for package just once * R/inline.R (CFlags): Plugin builds set the #define for new header file 2014-10-20 Dirk Eddelbuettel * man/DiscountCurve.Rd: Do not include two-year swap ("s2y") in curve parameters, and correct evaluation date -- with thanks to Luigi Ballabio * man/Bond.Rd: Ditto 2014-10-18 Dirk Eddelbuettel * inst/unitTests/runit.options.R: Skip AsianOption() test on Windows 2014-10-17 Dirk Eddelbuettel * src/Makevars.in: Add OpenMP support (conditional on R having it) * configure.ac: Renamed from configure.in; also updated check for QuantLib to ensure version 1.4.0 or later is used * inst/unitTests/runit.calendar.R (test.isBusinessDay): adjust parens 2014-10-15 Dirk Eddelbuettel * DESCRIPTION: New minor version * src/dates.cpp: New place for as<> and wrap() for Quantlib::Date * inst/include/RQuantLib.h: No longer include rquantlib_wrappers.h * src/Makevars.win: Add -fpermissive to cope with a 'long long' conversion, also enable support for OpenMP on Windows 2014-10-15 Michele Salvadore * src/bonds.cpp: Updated FixedRateBond() to better match the function signature in the QuantLib library while making it more flexible * src/utils.cpp: * bond.R: Ditto * man/Bond.Rd: Updated accordingly * man/FixedRateBond.Rd: Ditto * tests/RQuantLib.R: Corresponding test update * tests/RQuantLib.Rout.save: Ditto 2014-10-14 Dirk Eddelbuettel * DESCRIPTION: Added minor version, shorter Description 2014-10-13 Michele Salvadore * src/bonds.cpp: Fixed-income functionality cleanup * src/utils.cpp: Ditto * R/bonds.R: Ditto * man/Bond.Rd: Corresponding documentation update * man/BondUtilities.Rd: Ditto * man/CallableBond.Rd: Ditto * man/ConvertibleBond.Rd: Ditto * man/Enum.Rd: Ditto * man/FixedRateBond.Rd: Ditto * man/FloatingRateBond.Rd: Ditto * man/ZeroCouponBond.Rd: Ditto * tests/RQuantLib.R: Corresponding test update * tests/RQuantLib.Rout.save: Ditto 2014-06-16 Dirk Eddelbuettel * inst/QuantLib_LICENSE.TXT: Renamed from QuantLib-License.txt per CRAN request * inst/Boost_LICENSE.TXT: Renamed from Boost-License.txt for symmetry 2014-05-28 Dirk Eddelbuettel * R/asian.R: Set default values for first, length and fixing used for arithemtic asian options * man/asian.Rd: Update documentation * src/asian.cpp: For arithmetic option, check parameters first, length and fixings * src/asian.cpp (asianOptionEngine): Use NA not NaN on missing greeks * src/barrier_binary.cpp (barrierOptionEngine): Idem * tests/RQuantlib.Rout.save: Updated accordingly 2014-05-20 Dirk Eddelbuettel * src/utils.cpp: Converted three more functions interfaces * src/bonds.cpp: Idem * inst/include/rquantlib_internal.h: Idem 2014-05-18 Dirk Eddelbuettel * src/utils.cpp: Change getIborIndex and getFlatCurve to use List * src/bonds.cpp: Idem * inst/include/rquantlib_internal.h: Idem 2014-05-17 Dirk Eddelbuettel * src/utils.cpp: Change getSchedule to use List argument * inst/include/rquantlib_internal.h: Idem 2014-04-06 Dirk Eddelbuettel * src/utils.cpp (buildTermStructure): Simplified interface * inst/include/rquantlib_internal.h: Corresponding declation * src/bonds.cpp: Use simpler interface to builtTermStructure() 2014-04-05 Dirk Eddelbuettel * src/bonds.cpp: Finishing conversion to Rcpp Attributes * R/bond.R: More corresponding changes * src/utils.cpp: Retire getDoubleVector() helper * src/bonds.cpp: Corresponding adjustments * R/bond.R: Idem * man/bond.Rd: Use vector() for empty vector * man/FloatingRateBond.Rd: Idem * tests/RQuantLib.R*: Idem 2014-04-04 Dirk Eddelbuettel * src/bonds.cpp: More Rcpp Attributes * R/bond.R: More corresponding changes 2014-04-03 Dirk Eddelbuettel * src/bonds.cpp: More Rcpp Attributes * R/bond.R: More corresponding changes 2014-04-02 Dirk Eddelbuettel * src/bonds.cpp: More Rcpp Attributes * R/bond.R: More corresponding changes 2014-04-01 Dirk Eddelbuettel * src/bonds.cpp: Partially changed to use Rcpp Attributes * R/bond.R: Corresponding changes 2014-03-31 Dirk Eddelbuettel * src/curves.cpp: Some updates reflecting newer Rcpp 2014-03-30 Dirk Eddelbuettel * src/vanilla.cpp: Changed to use Rcpp Attributes * R/option.R: Changed calls accordingly * R/arrays.R: Idem * man/AmericanOption.Rd: Updated as param. list no longer returned * man/EuropeanOption.Rd: Idem 2014-03-29 Dirk Eddelbuettel * src/implieds.cpp: Changed to use Rcpp Attributes * R/implieds.R: Changed calls accordingly * man/AmericanOptionImpliedVolatility.Rd: Updated * man/EuropeanOptionImpliedVolatility.Rd: Updated 2014-03-28 Dirk Eddelbuettel * src/bermudan.cpp: Changed to use Rcpp Attributes * R/bermudan.R: Changed call accordingly * src/bermudan.cpp: Updated copyright header with gnu.org URL * R/bermudan.R: Idem 2014-03-27 Dirk Eddelbuettel * src/hullwhite.cpp: Changed to use Rcpp Attributes * R/hullWhiteCalibration.R: Changed call accordingly * src/hullwhite.cpp: Updated copyright header with gnu.org URL * R/hullWhiteCalibration.R: Idem * .travis.yml: Revert to main repo now that pull request is in 2014-03-26 Dirk Eddelbuettel * src/discount.cpp: Changed to use Rcpp Attributes * R/discount.R: Changed call in default methods accordingly * src/discount.cpp: Updated copyright header with gnu.org URL * R/discount.R: Idem 2014-03-25 Dirk Eddelbuettel * src/barrier_binary.cpp: Changed to use Rcpp Attributes * R/implied.R: Changed call in default methods accordingly * R/option.R: Idem * man/BarrierOption.Rd: Updated as param. list no longer returned * man/BinaryOption.Rd: Idem * man/BinaryOptionImpliedVolatility.Rd: Idem * src/barrier_binary.cpp: Updated copyright header with gnu.org URL * R/implied.R: Idem * R/option.R: Idem 2014-03-24 Dirk Eddelbuettel * src/asian.cpp: Changed to use Rcpp Attributes * R/asian.R: Changed call in default method accordingly * man/asian.Rd: Updated as parameter list no longer returned * src/asian.cpp: Updated copyright header with gnu.org URL * R/asian.R: Idem * inst/unitTests/runit.calendar.R: Corrected mode 2014-03-23 Dirk Eddelbuettel * src/zero.cpp: Changed to use Rcpp Attributes 2014-03-22 Dirk Eddelbuettel * src/calendars.cpp: Changed to use Rcpp Attributes * src/daycounter.cpp: Idem * R/calendars.R: Commented-out / adapted as RcppExports.R takes over * R/dayCounter.R: Commented-out as RcppExports.R takes over * man/Calendars.Rd: Minor adjustments to documentation of default argument * src/rquantlib.h: Moved from inst/include to avoid lower / uppercase clash; this header really is an internal definition header; sources the content formerly in quantlib.h * inst/include/rquantlib_internal.h: Formerly known as rquantlib.h * inst/include/rquantlib_wrappers.h (Rcpp): Moved definition of as<> and wrap for Date and DateVector here to be read by plugin; added definitions for vector of dates * src/rquantlib: New as<> and wrap converters for DateVector * src/bermudan.cpp: Use as<> and wrap converters for Date and DateVector * src/bonds.cpp: Idem * src/calendars.cpp: Idem * src/daycounter.cpp: Idem * src/discount.cpp: Idem * src/hullwhite.cpp: Idem * src/utils.cpp: Idem * src/zero.cpp: Idem * src/utils.cpp: Retire old dateFromR() converter replaces by as<> * inst/include/RQuantLib.h: Also include 'wrapper' header for converters * R/inline.R (inlineCxxPlugin): Plugin reads header RQuantLib.h 2014-03-21 Dirk Eddelbuettel * src/utils.cpp: Added as<> and wrap conversion for QuantLib::Date * src/dates.cpp (advanceDate): Added simple test date function, also uses Rcpp Attributes as a first test case * inst/include/RQuantLib.h: Added and edited to allow inclusion of actual rquantlib.h header via RcppExports 2014-03-20 Dirk Eddelbuettel * src/bonds.cpp (FittedBondCurve): Converted from deprecated FixedRateBondHelper to BondHelper with a FixedRateBond 2014-03-16 Dirk Eddelbuettel * src/calendars.cpp: Applied patch by Danilo Dias da Silva to support more calendars by adding more than two dozen new identifiers * man/Calendars.Rd: Updated accordingly 2014-03-09 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.12 * man/FittedBondCurve.Rd: Test for suggested package zoo before use 2014-03-08 Dirk Eddelbuettel * configure: Updated for Rcpp 0.11.0 and later * configure.in: Idem * src/Makevars.win: Updated for Rcpp 0.11.0 and later * R/inline.R (.onLoad): Set a default value of NULL for the QL libs and headers, and only override if either the corresponding env.vars are set are the quantlib-config script can be found * R/inline.R: Only supply LdFlags() and CFlags() results if stored values are non-null 2014-02-05 Dirk Eddelbuettel * R/inline.R (.onLoad): No longer need to add LdFlags() from Rcpp to PKG_LIBS when preparing ql_libs. * R/inline.R (inlineCxxPlugin): Rcpp.plugin.maker() can now be called directly as it is imported from Rcpp * DESCRIPTION: Add a requirement for Rcpp 0.11.0 or later * NAMESPACE: Import Rcpp.plugin.maker from Rcpp 2014-01-26 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.11 * R/inline.R: For now, revert to using Rcpp:::Rcpp.plugin.maker() as only unreleased Rcpp exports this right now; will use '::' later 2014-01-15 Dirk Eddelbuettel * src/utils.cpp: Make the epoch-offset between QL and R an internal const here, rather than accessing it from R's Date class * DESCRIPTION: Update Depends and Imports relationships * R/inline.R: Call Rcpp::LdFlags() now that it is exported * R/inline.R: Idem for Rcpp::Rcpp.plugin.maker() * man/AsianOption.Rd: Indent to less that 90 columns * man/BinaryOption.Rd: Idem * man/BondUtilities.Rd: Idem * man/Calendars.Rd: Idem * man/EuropeanOptionArrays.Rd: Idem * man/FixedRateBond.Rd: Idem * man/ImpliedVolatility.Rd: Idem * R/mod.R: Do not attempt to load modules for now 2013-05-26 Dirk Eddelbuettel * R/inline.R: Adding a plugin for use by Rcpp attribute or inline * inst/include/rquantlib.h: Moved from src/ to expose the RQuantLib API for use by the plugin (and the header file / API needs to be properly defined; this file is probably too large) * src/Makevars.in: Adjust for header file move * src/Makevars.win: Idem 2013-02-17 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.10 * man/Bond.Rd: Use a flat discount curve in example * man/DiscountCurve.Rd: Idem * man/FixedRateBond.Rd: Idem * man/FLoatingRateBond.Rd: Idem * man/ZeroCouponBond.Rd: Idem * R/arrays.R (plotOptionSurface): Use explicit `rgl::' prefix for all functions from the rgl package to suppress spurious codetools warning * demo/OptionSurfaces.R: Reindented * cleanup: Simplified and updated 2012-12-02 Dirk Eddelbuettel * src/discount.cpp (DiscountCurve): R-devel on Windows now longer likes a data.frame instantiation here, so passing back as list and ... * R/discount.R (DiscountCurve.default): ... making it a data.frame here. 2012-12-01 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.9 * src/vanilla.cpp (AmericanOption): Support engine choice, adding "CrankNicolson" to the default "BaroneAdesiWhaley" as the former adds delta + gamma -- thanks to Bryan Lewis for the suggestion * R/option.R: Support new the new 'engine' option * man/AmericanOption.Rd: Document new 'engine' option * src/bonds.cpp: Remove remaining std::cout use * src/curve.cpp: Idem * src/zero.cpp: Idem 2011-12-27 Dirk Eddelbuettel * src/Makevars.win: Add -I"$(BOOSTLIB)" which is what other CRAN packages depending on Boost do 2011-09-11 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.8 2011-09-10 Dirk Eddelbuettel * R/dayCounter.R: Added new function 'setEvaluationDate' as a simple pass-through function to set a date as the QuantLib evaluation date * src/daycounter.cpp: C++ part of setEvaluationDate() * man/Calendars.Rd: Documentation for setEvaluationDate() 2011-09-09 Dirk Eddelbuettel * src/discount.cpp (DiscountCurve): Cache the (global) value of QuantLib::Settings::instance().evaluationDate() and reset it at end, with thanks to Helmut Heiming for the bug report. 2011-05-02 Dirk Eddelbuettel * configure.in: If g++ version 4.6 or newer is detected, add the -fpermissive option (which was also required in a Debian-only fix release of 0.3.7 which was made today) 2011-04-04 Dirk Eddelbuettel * src/Makevars.win: Simplified using lib${R_ARCH} 2011-04-03 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.7 * man/ConvertibleBond.Rd: Commented-out URLs with 70+ character length as they trigger a bug when the corresponding latex manual is typeset with the a4 style file. Thanks to Uwe Ligges for spotting this. * man/Enum.Rd: Idem * man/FittedBondCurve.Rd: Idem * src/Makevars.win: Adjust link command to '-lQuantLib', and support 32 and 64 bit builds of the QuantLib library 2011-02-21 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.6 * src/bermudan.cpp: Added two explicit casts to double scalar * src/utils.cpp: Idem 2010-11-15 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.5 * DESCRIPTION: Added RUnit to Suggests: * src/bonds.cpp: Use std::vector< RelinkableHandle < Quote > > to store a vector of quotes, rather than a variable length array which g++ -pedantic and the ISO C++ standard both dislike * src/zero.cpp: Idem * man/Calendars.Rd: Folded manual pages adjust.Rd, advance.Rd, businessDaysBetween.Rd, dayCount.Rd, yearFraction into this. * man/ConvertibleBond.Rd: Folded manual pages ConvertibleFixedCouponBond.Rd, ConvertibleFloatingCouponBond.Rd, and ConvertibleZeroCouponBond.Rd into this one. * man/FixedRateBond.Rd: Folded manual pages FixedRateBondYield.Rd FixedRateBondPriceByYield.Rd into this one. * man/ZeroCouponBond.Rd: Folded manual pages ZeroPriceByYield.Rd and ZeroYield.Rd into this one. * tests/RQuantlib.Rout.save: Updated to results from running against QuantLib 1.0.1 which affected one yield computation at the third decimal, as well as one date calculation. 2010-11-01 Dirk Eddelbuettel * man/AmericanOption.Rd: Correction to how generics are documented * man/AmericanOptionImpliedVolatility.Rd: Idem * man/BarrierOption.Rd: Idem * man/BinaryOptionImpliedVolatility.Rd: Idem * man/BinaryOption.Rd: Idem * man/EuropeanOptionImpliedVolatility.Rd: Idem * man/EuropeanOption.Rd: Idem * man/Bond.Rd: Idem * man/CallableBond.Rd: Idem * man/ConvertibleFixedCouponBond.Rd: Idem * man/ConvertibleFloatingCouponBond.Rd: Idem * man/ConvertibleZeroCouponBond.Rd: Idem * man/FixedRateBondPriceByYield.Rd: Idem * man/FixedRateBond.Rd: Idem * man/FixedRateBondYield.Rd: Idem * man/FloatingRateBond.Rd: Idem * man.ImpliedVolatility.Rd: Idem * man/Option.Rd: Idem * man/ZeroCouponBond.Rd: Idem * man/ZeroPriceByYield.Rd: Idem * man/ZeroYield.Rd: Idem * R/bond.R: Standardised generics * DESCRIPTION: Added Suggests: zoo 2010-08-09 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.4 * src/rquantlib.h: No longer use 'using namespace QuantLib' * src/asian.cpp: Switch to explicitly reference all QuantLib objects * src/barrier_binary.cpp: Idem * src/bermudan.cpp: Idem * src/bonds.cpp: Idem * src/calendars.cpp: Idem * src/curves.cpp: Idem * src/daycounter.cpp: Idem * src/discount.cpp: Idem * src/hullwhite.cpp: Idem * src/implieds.cpp: Idem * src/utils.cpp: Idem * src/vanilla.cpp: Idem * src/zero.cpp: Idem 2010-08-07 Dirk Eddelbuettel * R/arrays.R: Rewrote EuropeanOptionArrays() to have vectorisation on the C++ side rather than in R; external interface unchanged and the old implementation is still available as a fallback if needed * src/vanilla.cpp: New function EuropeanOptionArrays() looping over a grid defined by vectors of any two of the six possible numeric inputs * man/EuropeanOptionArrays.Rd: Updated accordingly * R/arrays.R: New function plotOptionSurface() (from existing demo) * man/EuropeanOptionArrays.Rd: Added documentation * src/*cpp: Drop QL_ prefix from functions called from R * R/*: Drop QL_ prefix in functions called by .Call() 2010-08-06 Dirk Eddelbuettel * src/rquantlib.hpp: Renamed to rquantlib.h to suppress a warning in the upcoming R release (as requested by Kurt Hornik) * src/*.cpp: Adjust to '#include ' instead 2010-08-03 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.3 2010-08-02 Dirk Eddelbuettel * inst/unitTests/runit.options.R: Updated asian option test for arithmetic averaging based on QuantLib's test-suite code * R/asian.R: Removed two unused parameters, updated use of maturity used only for geometric averaging * man/asian.Rd: Corresponding manual page update * src/Makevars.win: Simplified Makefile.win into Makevars.win and updated to e.g. the new sub-arch path for Rscript.exe 2010-07-05 Khanh Nguyen * src/asian.cpp: Added arithmetic average case * R/asian.R: Idem * man/asian.Rd: Idem 2010-06-30 Dirk Eddelbuettel * inst/unitTests/runit.calendar.R: Beginnings of calendar unit tests 2010-06-23 Dirk Eddelbuettel * src/*: Converted remainder of code to new Rcpp API 2010-06-20 Dirk Eddelbuettel * R/calendar.R: New helper function setCalendarContext() setting calendar, fixingDays and settleDate * src/calendar.cpp: Implementation, setting RQLContext * man/setCalendarContext.Rd: Documentation * src/bermudan.cpp: take calendar info from RQLContext * src/discount.cpp: idem * src/utils.cpp: idem * src/*.cpp: Some minor cleanup and reindentation, ensure Settings::instance().evaluationDate() is set 2010-06-19 Dirk Eddelbuettel * src/bonds.cpp: Converted to new API * src/utils.cpp: Factored-out utility functions from bonds.cpp * src/rquantlib.hpp: Declarations for new utility functions * src/bonds.cpp: Some refactoring 2010-06-18 Dirk Eddelbuettel * src/bonds.cpp: Converted to new API 2010-06-17 Dirk Eddelbuettel * src/curves.cpp: Converted to new API * src/discount.cpp: Idem * src/hullwhite.cpp: Idem * src/bermudan.cpp: Idem 2010-06-16 Dirk Eddelbuettel * src/utils.cpp: Added simple getOptionType() helper * src/rquantlib.hpp: Added simple getOptionType() helper definition * src/*cpp: Use getOptionType() * src/asian.cpp: Converted to new API * src/barrier_binary.cpp: Idem * src/implieds.cpp: Idem * src/cbond.cpp: Idem * src/daycounter.cpp: Idem * src/zero.cpp: Idem 2010-06-15 Dirk Eddelbuettel * src/vanilla.cpp: Converted to new API 2010-06-14 Dirk Eddelbuettel * src/calendars.cpp: Yet more simplification from "new" Rcpp API * R/calendars.R: Simpler too as we get simpler result objects back 2010-06-12 Dirk Eddelbuettel * src/calendars.cpp: More code simplification using "new" Rcpp API * src/utils.cpp: Add Brazil + South Korea to getCalendar() * src/calendars.cpp: Move getCalendar() into this file 2010-06-11 Dirk Eddelbuettel * src/calendars.cpp: Simplified code by using more of Rcpp's new API * DESCRIPTION: Encode "Rcpp (>= 0.8.2.2)" aka current SVN * DESCRIPTION: Switch to 'LinkingTo: Rcpp' * configure.in: No longer need CxxFlags for Rcpp thanks to LinkingTo * src/Makefile.win: Idem 2010-06-09 Dirk Eddelbuettel * man/DiscountCurve.Rd: Uncomment futures entries as there are numerical issues (in QuantLib) with the spline curve fit when present 2010-04-29 Dirk Eddelbuettel * src/*.cpp: Suppress a few g++ warnings * src/calendar.cpp: Added South Korea and Brazil 2010-04-21 Dirk Eddelbuettel * inst/unitTests/runitOptions.R: Updated binary option test 2010-04-05 Khanh Nguyen * R/hullWhiteCalibration.R: added Hull-White calibration * src/hullwhite.cpp: added Hull-White calibration 2010-02-12 Khanh Nguyen * R/*,src/*: Remove some deprecated fixed income code * tests/*: Remove corresponding tests 2010-01-23 Dirk Eddelbuettel * NAMESPACE: Some small cleanups 2010-01-22 Khanh Nguyen * NAMESPACE: Added, filled with functions and methods * R/*Bond.R: add default values to bond functions, especially the date parameters (dayCounter, settlement days, compounding frequency,..) so that it is less confusing when using the functions. * man/*Bond.Rd: idem * New examples that use default values for bonds. 2010-01-14 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.2 which works with QuantLib 0.9.9 (as well as with the brand-new first beta for QuantLib 1.0.0) * src/Makefile.win: Keep QL 0.9.9 hard-coded until 1.0.0 is out 2010-01-14 Khanh Nguyen * pkg/R/calendars.R: Fix generic function issue with advance * src/dayCounter.cpp: Added dayCounter functions * pkg/R/dayCounter.R: idem * man/dayCount.R: idem * man/yearFraction.R: idem * man/advance.R: idem 2010-01-13 Dirk Eddelbuettel * src/asian.cpp: updated for Rcpp (>= 0.7.0), switched to explicit Rf_error() and Rf_length() where needed with R_NO_REMAP defined * src/barrier_binary.cpp: idem * src/bermudan.cpp: idem * src/bonds.cpp: idem * src/discount.cpp: idem * src/implieds.cpp: idem * src/rquantlib.hpp: idem * src/utils.cpp: idem * src/vanilla.cpp: idem * DESCRIPTION: Depends on Rcpp (>= 0.7.0) 2010-01-12 Khanh Nguyen * src/calendars.cpp: Add new calendaring functionality * src/calendars.hpp: idem * R/calendars.R: idem * man/endOfMonth.Rd: idem * man/isHoliday.Rd: idem * man/holidayList.Rd: idem * man/businessDaysBetween.Rd: idem * man/adjust.Rd: idem * man/isEndOfMonth.Rd: idem * man/isWeekend.Rd: idem 2009-12-12 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.1 for QuantLib 0.9.9 * src/Makefile.win: Update to QL 0.9.9 as well 2009-11-02 Dirk Eddelbuettel * man/*.Rd: Commented-out a few empty sections as noticed by R 2.10.0 * man/*.Rd: Update the curve data for the curve examples using data from QuantLib's Examples/Swap/swapvaluation.cpp; with QuantLib 0.9.9 all numerical issues appear to be gone * man/*.Rd: Some minor white-space changes * src/*cpp: Small updates for QuantLib 0.9.9: - FDEuropeanEngine now needs a template argument for the scheme, current default is CrankNicholson - NULL_RateHelper construct no longer works, so we test the return from getRateHelper() via ptr.get() == NULL 2009-10-16 Dirk Eddelbuettel * man/DiscountCurve.Rd: Change as per QL 0.9.7's Swap/swapvaluation.cpp 2009-09-06 Dirk Eddelbuettel * src/Makefile.win: Small rewrite to automatically build over all included .cpp files and some other fixes 2009-09-05 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.0 reflecting all the excellent Google Summer of Code 2009 work by Khanh Nguyen as well as other small enhancements [ Changes by Khanh Nguyen below ] * R/bond.R: Added pricing functionality for various new instrument * R/discount.R: Idem * src/bonds.cpp: Idem * src/discount.cpp: Idem * src/utils.cpp: Idem * man/Bond.Rd: Added documentaiont for new functions * man/CallableBond.Rd: Idem * man/ConvertibleFixedCouponBond.Rd: Idem * man/ConvertibleFloatingCouponBond.Rd: Idem * man/ConvertibleZeroCouponBond.Rd: Idem * man/Enum.Rd: Idem * man/FittedBondCurve.Rd: Idem * man/FixedRateBond.Rd: Idem * man/FixedRateBondCurve.Rd: Idem * man/FixedRateBondPriceByYield.Rd: Idem * man/FixedRateBondYield.Rd: Idem * man/FloatingRateBond.Rd: Idem * man/ZeroCouponBond.Rd: Idem * man/ZeroPriceByYield.Rd: Idem * man/ZeroYield.Rd: Idem * rests/RQuantLib.R: Added tests for new functions * rests/RQuantLib.Rout.save: Added tests ouput for new functions [ Changes by Dirk Eddelbuettel below ] * man/BondUtilities.Rd: Added documentation for new function * R/calendars.R: Add support to access QuantLib calendars from R * src/calendars.cpp Idem * man/Calendars.Rd: Idem * src/bonds.cpp: Small C++ fixes to suppres g++ warnings * INDEX: Updated via 'R CMD build --force' * inst/QuantLib-License.txt: Updated to version from QL 0.9.7 2009-03-30 Dirk Eddelbuettel * src/{barrier_binary,implied,vanilla}.cpp: More direct initialization of option parameters * man/*.Rd: Corrected use of quotes which do not need escapes 2009-03-03 Dirk Eddelbuettel * DESCRIPTION: Release 0.2.11, updated for Rcpp 0.6.4 * src/{*.cpp,rquantlib.hpp}: Updated for Rcpp 0.6.4 and the requirement to explicit reference all object from namespace std, e.g. now use std::string * src/*: Updated all copyright notices to 2009 2008-12-04 Dirk Eddelbuettel * DESCRIPTION: Release 0.2.10, updated for QL 0.9.7 and Rcpp 0.6.1 * configure.in: Updated for new scheme of external Rcpp package, added explicit check for Rscript, added some more messages, make sure Rscript is looked for inside R_HOME as well * RcppSrc/: removed, we now use Rcpp (>= 0.6.1) * configure.win: Just check for QUANTLIB_ROOT variable, no more building of RcppSrc/ as we use the externally supplied Rcpp package * R/RcppVersion: removed as Rcpp is no longer include * man/RcppVersion.Rd: removed as Rcpp is no longer include * src/Makefile.win: Updated to reflect external Rcpp use * src/rquantlib.hpp: include Rcpp.h, not .hpp; define dateFromR() * src/utils.cpp: Added dateFromR() to deal with different date offsets between R (using the Unix epoch) and QL (using spreadsheet conventions) * src/bermudan.cpp: A few small changes related to external Rcpp * src/discount.cpp: A few small changes related to external Rcpp 2008-08-09 Dirk Eddelbuettel * DESCRIPTION: Release 0.2.9, updated for QL 0.9.6 * configure.in: Updated for 0.9.6 * src/curves.cpp: Minor updates for QL 0.9.6 API changes 2008-01-01 Dirk Eddelbuettel * DESCRIPTION: Release 0.2.8, updated for QL 0.9.0 * R/option.R: For BinaryOption, added new arguments 'binType' and 'excType' to select the type of Binary (cash, asset or gap) and exercise (european or american). * RcppSrc/Rcpp.cpp,src/*cpp: Added const char* casts for Rprintf * src/BinaryOptions.cpp: Support new binType and excType arguments * src/*cpp: Generally updated for QL 0.9.0 changes * src/discount.cpp: New boolean variable flatQuotes * man/{BinaryOption,DiscountCurve}.Rd: Updated for new arguments * inst/unitTests: Added unit testing using the RUnit package 2007-07-01 Dirk Eddelbuettel * DESCRIPTION: Release 0.2.7, updated for QL 0.8.1 * configure.in: Require QuantLib 0.8.1, and Boost 1.34.0 2007-06-30 Dominick Samperi * src/bermudan.cpp, src/curves.cpp: Updated for QL 0.8.1 2007-02-25 Dirk Eddelbuettel * DESCRIPTION: Relase 0.2.6 updated for Quantlib 0.4.0 * configure.in: Require Quantlib 0.4.0 2007-02-24 Dominick Samperi * src/bermudan.cpp: Several updates for Quantlib 0.4.0 2006-11-10 Dirk Eddelbuettel * man/*.Rd: Updates to default method docs suggested by Kurt Hornik 2006-11-06 Dirk Eddelbuettel * DESCRIPTION: Release 0.2.5 updated for QuantLib 0.3.14 * src/*.cpp: Several minor changes for class renaming and interface changes on the QuantLib side of things 2006-08-14 Dirk Eddelbuettel * DESCRIPTION: Release 0.2.4 updated for QuantLib 0.3.13; this required some changes in the fixed-income functions * configure.in: Tests for QuantLib version 0.3.13 * tests/RQuantLib.R: Added the beginnings of unit-tests * tests/RQuantLib.Rout.save: Control output for unit tests 2006-07-23 Dirk Eddelbuettel * DESCRIPTION: Release 0.2.3 using the new RcppTemplate version 4.2 * src/*: RcppTemplate is now used for all R/C++ interfaces features from the new RcppTemplate 2006-03-30 Dirk Eddelbuettel * Release 0.2.2 once more with thanks to Dominick 2006-03-23 Dominick Samperi * configure.in, configure.win, inst/lib/Makefile, inst/lib/Makefile.win, src/Makefile, src/Makefile.win, cleanup: modified to support use of RcppTemplate V2.2. RQuantLib shared library (or DLL) is created by linking against RcppSrc/libRcpp.a. Tested against QuantLib 0.3.12. * Rcpp.{cpp,hpp}: added latest versions from RcppTemplate package. 2006-01-10 Dirk Eddelbuettel * Release 0.2.1 with thanks to Dominick 2006-01-10 Dominick Samperi * man/DiscountCurve.Rd: Fixed typo and commented out rates needing to be fractions in fixed formating in DiscountCurve example * src/Rcpp.{hpp,cpp},src/{curves,discount,bermudan}.cpp: modified to throw exceptions instead of calling R's error() function. 2005-10-27 Dominick Samperi * src/Rcpp.{hpp,cpp}: Some minor adjustments. Moved matrix and vector indexing into header file. * src/rquantlib.hpp: Added ifdef to protect against multiple includes. 2005-10-26 Dirk Eddelbuettel * Preparing release 0.2.0 regrouping the numerous changes -- contributed mostly by Dominick -- since the 0.1.13 release 2005-10-13 Dominick Samperi * src/Rcpp.{hpp,cpp}: Improved error messages 2005-10-08 Dominick Samperi * src/Rcpp.cpp: Implemented Rcpp, R/C++ interface classes, and modified discount.cpp and bermudan.cpp to use it. * src/Rcpp.hpp: Header files for latter. 2005-10-03 Dominick Samperi * inst/Boost-License.txt, inst/QuantLib-License.txt: License files for Boost and QuantLib. * Windows is now supported using a binary package that does not require the user to install a compiler, Boost, or QuantLib. Had to add Makefile.win, configure.win, etc. * R/discount.R: new DiscountCurve function that constructs the spot term structure of interest rates based on market observables like deposit rates, futures prices, FRA rates, and swap rates. Supports the fitting of discount factors, forward rates, or zero coupon rates, using linear, log-linear, and cubic spline interpolation. * man/DiscountCurve.Rd: man page for DiscountCurve. * R/bermudan.R: new function that prices a Bermudan swaption using a choice of four models: G2 analytic, Hull-White analytic, Hull-White tree, and Black-Karasinski tree. * man/BermudanSwaption.Rd: man page for BermudanSwaption. * src/curves.cpp: utility code for curve construction. * src/discount.cpp: implements DiscountCurve. * src/bermudan.cpp: implements BermudanSwaption. * src/utils.cpp: added utility functions to simplify communication with R. * src/rquantlib.hpp: contains prototypes for utility functions and new definitions for Windows. * Changed: suffix .cc to .cpp, and .h to .hpp. 2005-09-16 Dirk Eddelbuettel * demo/OptionSurfaces.R: added demo with OpenGL visualizations of option analytics, requires rgl package [ Update: not released as rgl crashes on some platforms ] 2005-08-06 Dirk Eddelbuettel * Release 0.1.13 matching the new QuantLib 0.3.10 release * Implied volatilies are back! With gcc/g++ 4.0, the segmentation fault that I was seeing on implied volatility using gcc/g++ 3.3 (but which others did not see with gcc/g++ 3.2) has disappeared, so the corresponding code has been reactivated. * BinaryOptionImpliedVolatility() is also back * src/*.cc, R/*.R: Removed a lot of commented-out code 2005-04-26 Dirk Eddelbuettel * Release 0.1.12 matching the upcoming QuantLib 0.3.9 release * configure.in: Test for QuantLib >= 0.3.8 * src/*.cc: Several changes for QuantLib 0.3.9: - use Handle<...> instead of RelinkableHandle<...> - use YieldTermStructure instead of TermStructure - use today + alength instead of today.plusDays 2004-12-27 Dirk Eddelbuettel * Release 0.1.11 matching the new QuantLib 0.3.8 release * configure.in: Added tests for Boost headers, with thanks and a nod to QuantLib for the actual autoconf code * src/{barrier_binary.cc,implieds.cc,vanilla.cc}: Option type 'Straddle' now unsupported, hence commented out * man/*.Rd: Similarly removed reference to straddle from docs * src/{barrier_binary.cc,implieds.cc,utils.cc,vanilla.cc}: Renamed BlackScholesStochasticProcess to BlackScholesProcess * src/vanilla.cc: Changed Handle to boost::shared_ptr 2004-09-12 Dirk Eddelbuettel * Release 0.1.10 * Switched to using Boost library as per QuantLin 0.3.7 * AmericanOption now uses the Barone-Adesi-Whaley approximation * Implied volatility for both European and American options currently segfaults when called from R, though the code itself works as a standalone. The code also works from R when the implied calculation call is skipped. Something is corrupting memory somewhere. For now, we return NA for either function. 2004-08-06 Dirk Eddelbuettel * DESCRIPTION: Added SystemRequirements for QuantLib 2004-05-26 Dirk Eddelbuettel * Release 0.1.9 * man/EuropeanOption.Rd: Added corrections for the issues raised by Ajay Shah in the Debian bug report #249240 * man/{AmericanOption,BarrierOption,BinaryOption}.Rd: Idem 2004-04-05 Dirk Eddelbuettel * Release 0.1.8 * src/{barrier_binary,implieds,utils,vanilla}.cc: Updated to the new QuantLib 0.3.5 pricer framework. This currently implies that options priced using the binomial engines do not have Greeks; this should be addressed in a future QuantLib release. * man/{BarrierOption,AmericanOption}.Rd: Note that Greeks are currently unavailable with binary pricers 2003-11-28 Dirk Eddelbuettel * Release 0.1.7 * src/barrier_binary.cc: -- split off from RQuantLib.cc -- added three more greeks to Barrier Option -- reflected small change in QuantLib types for Barrier Options * src/implieds.cc -- split off from RQuantLib.cc -- rewritten functions for implied volatility on European and American options using new QuantLib framework * src/utils.cc -- split off from RQuantLib.cc * src/vanilla.cc -- rump of RQuantLib.cc, renamed 2003-07-31 Dirk Eddelbuettel * Release 0.1.6 * man/{EuropeanOption,ImpliedVolatility}: Two small corrections to argument call mismatches found by R CMD check 2003-05-31 Dirk Eddelbuettel * Release 0.1.5 * R/{option,implied}.R: generic/method consistency improved following heads-up, and subsequent help, from BDR. Thanks! 2003-03-25 Dirk Eddelbuettel * Release 0.1.4 * data/: Removed empty directory as suggested by Kurt * configure.in: Several additions: - test for g++ >= 3.0, kindly provided by Kurt - test for QuantLib >= 0.3, along the same lines - converted from autoconf 2.13 to 2.50 * cleanup: Remove temp dir created by autoconf 2003-02-05 Dirk Eddelbuettel * Release 0.1.3 * R/*.R: Added PACKAGE="RQuantLib" to .Call() as suggested by Kurt * DESCRIPTION: Removed QuantLib from Depends as requested by Kurt, and added explanation to Description 2002-11-13 Dirk Eddelbuettel * Release 0.1.2 * Minor correction to EuropeanOptionArrays manual page indexing 2002-11-11 Dirk Eddelbuettel * Release 0.1.1 * Added barrier option * Several small corrections and completions to documentation 2002-02-25 Dirk Eddelbuettel * Initial 0.1.0 release