A new version of RQuantLib has been uploaded to CRAN a few days ago (and
should be available at http://cran.r-project.org and all mirrors). Debian
binaries are also available.
Among the new features in version 0.2.0, all of which are due to excellent
contributions by Dominick Samperi, are
- new functions for Fixed Income support:
* DiscountCurve for discount / forward / zero curve construction
* BermudanSwaption provding several QuantLib pricers for Swaptions
- new internal R / C++ interface class RCpp
- Windows binary packages on CRAN
Windows users can now install RQuantLib via the menu just like any other
package. Debian users can still say 'apt-get install r-cran-rquantlib'.
All
others can compile manually (which still requires Boost and QuantLib
headers).
We also have an experimental OpenGL demo of option analytics visualisation
via the rgl package. However, there are some concerns over stability,
especially on platforms with ATI graphics card. If you want to try it, do
> library(RQuantLib)
>
source(url("http://basebud.nulle.part/~edd/code/rquantlib/OptionSurfaces.R"))
and let us know how it worked (or not) and what your platform is. We still
would like to release this in an upcoming revision. A more fail-safe way,
using animated gifs of the demo's output, is available at
http://dirk.eddelbuettel.com/code/rquantlib-rgl.html
Special thanks to Dominick Sapieri for the new code and all his testing and
building help, and to Uwe Ligges for help with the Windows binaries.
With best regards, Dirk
--
Statistics: The (futile) attempt to offer certainty about uncertainty.
-- Roger Koenker, 'Dictionary of Received Ideas of Statistics'
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