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ChangeLog
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2025-01-10 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* configure.ac: Correct two possible bashisms
* configure: Regenerated
2024-08-07 Dirk Eddelbuettel <edd@debian.org>
* configure.ac: Add minor comment
2024-08-06 Jeroen Ooms <jeroenooms@gmail.com>
* configure.ac: Accomodate macOS 14 with new compiler flag
* configure: Idem
2024-08-05 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Authors@R): Added ORCID for Terry
2024-07-31 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.24
* configure.ac: Idem
* configure: Idem
2024-07-30 Dirk Eddelbuettel <edd@debian.org>
* src/vanilla.cpp: Refinement
* DESCRIPTION (Authors@R): Added
2024-07-29 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* configure.ac: Use PKG_LIBS and PKG_CXXFLAGS as internal variables,
no longer need to (conditionally) set -fpermissive
2024-07-24 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/vanilla.cpp: Accommodate builds on QuantLib versions as old as
1.25 by retaining the previous dividend treatment under #ifdef
* configure.ac: Update optional version checking to current versions
2024-07-23 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.23
* configure.ac: Idem
* configure: Idem
* src/bonds.cpp: Minor refactoring and C++ update
* src/utils.cpp: Idem
2024-07-22 Dirk Eddelbuettel <edd@debian.org>
* src/bermudan.cpp: Finalised refactoring and C++ update
2024-07-21 Dirk Eddelbuettel <edd@debian.org>
* src/hullwhite.cpp: Minor refactoring and C++ update
* src/bermudan.cpp: Idem
2024-07-14 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp (getFutureDate): New helper function
* inst/include/rquantlib_internal.h: Declaration
* src/asian.cpp: Use new helper function
* src/barrier_binary.cpp: Idem
* src/implieds.cpp Idem
* src/vanilla.cpp: Idem
* inst/include/rquantlib_internal.h: Move qlext namespace defintion
* src/affine.cpp: Minor refactoring and C++ update
2024-07-13 Dirk Eddelbuettel <edd@debian.org>
* src/asian.cpp: Minor refactoring and C++ update
* src/barrier_binary.cpp: Idem
* src/discount.cpp: Idem
* src/hullwhite.cpp: Idem
* src/implieds.cpp Idem
* src/vanilla.cpp: Idem
* src/zero.cpp: Idem
2024-07-12 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/vanilla.cpp (europeanOptionEngine): Update dividend case to
(initially deprecated, now removed) changes in upstream QuantLib
* src/utils.cpp: Update to Euribor* deprecation, conditional on
using QuantLb 1.35 or later
* README.md: Update three URLs
2024-05-25 Dirk Eddelbuettel <edd@debian.org>
* README.md: Use tinyverse.netlify.app for dependency badge
2024-04-25 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.22
* configure.ac: Idem
* configure: Idem
2024-04-20 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/bonds.cpp: Use QuantLib::Bond::Price in yield calculation
* src/zero.cpp: Use QuantLib::Bond::Price in yield calculation
* R/zzz.R (.onAttach):e Protect version comparison from possible '-rc'
in release candidate builds
* inst/tinytest/test_schedule.R: Idem
2024-03-20 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/Makevars.in (PKG_CXXFLAGS): No longer need -DBOOST_NO_AUTO_PTR
2024-03-09 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* R/asian.R: Remove three redundant duplicate methods available via
class 'option' inherited from
2024-02-01 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* .github/workflows/windows.yaml: Dialed down to r-release only
2024-01-25 Jeroen Ooms <jeroenooms@gmail.com>
* 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 <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
2024-11-06 Jeroen Ooms <jeroenooms@gmail.com>
* configure.ac: Use universal build macOS build of QuantLib 1.31.1
* configure: Idem
2023-11-26 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* .github/workflows/docker.yaml (jobs): Update to actions/checkout@v4
2023-08-07 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* configure.ac: Update configure checks
* configure: Idem
2023-07-25 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* README.md: Add r-universe badge
2023-06-27 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/docker.yaml: Update actions to current version
2023-05-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.18
* src/utils.cpp: Use Rcpp::stop instead of throw
2023-04-29 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
2023-04-28 Jeroen Ooms <jeroenooms@gmail.com>
* src/Makevars.win: Refactor and simplify for current use
* tools/winlibs.R: Update to QuantLib 1.29 download
2023-04-27 Jeroen Ooms <jeroenooms@gmail.com>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
2023-01-06 Dirk Eddelbuettel <edd@debian.org>
* R/arrays.R (plotOptionSurface): Provide default argument in case
none is given by user
2023-01-06 Duncan Murdoch <murdoch.duncan@gmail.com>
* R/arrays.R: Switch rgl::rgl.* to rgl::*3d functions
* demo/OptionSurfaces.R: Idem
2022-10-25 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.16
* configure.ac: Idem
* configure: Idem
2022-05-04 Dirk Eddelbuettel <edd@debian.org>
* R/affine.R: Use inherits instead of class
* R/bermudan.R: Idem
* R/sabr.R: Idem
2022-05-03 Dirk Eddelbuettel <edd@debian.org>
* docker/ci/Dockerfile: Small update
* docker/run/Dockerfile: Idem
2022-05-02 Dirk Eddelbuettel <edd@debian.org>
* 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 <klin441@gmail.com>
* 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 <klin441@gmail.com>
* man/Enum.Rd: Update and extend documentation for DayCounter
2022-01-19 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* src/bonds.cpp: Updated for Quantlib 1.25
2021-12-28 Dirk Eddelbuettel <edd@debian.org>
* README.md: Remove unused continuous integration artifact and badge
2021-12-03 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp (getDayCounter): Use Rcpp::stop on error
2021-11-30 Kai Lin <klin441@gmail.com>
* src/utils.cpp (getDayCounter): Additional day counters
2021-11-29 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp (getDayCounter): Correct Thirty360() use
2021-11-04 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp (getBusinessDayList): Condition businessDayList
use on QuantLib 1.18 or newer
2021-11-03 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* R/calendars.R: Add calendars vector
* man/Calendars.Rd: Add documentation
2021-11-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* src/calendars.cpp (getCalendar): Add Chile and Null
2021-10-26 Dirk Eddelbuettel <edd@debian.org>
* README.md: Add 'See Also' to RcppQuantuccia
2021-10-06 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* .github/workflows/docker.yaml: Add action to build and push
containers with cron set to monthly schedule
2021-09-02 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* man/Enum.Rd: Correct eleven-year old typo
2021-07-14 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* README.md: Add note about usability with new QuantLib versions
2021-06-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (URL): Add repo to URL field
2021-01-18 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/ci.yaml: Add CI runner using r-ci
* README.md: Add new badge
2020-06-16 Dirk Eddelbuettel <edd@debian.org>
* .travis.yml: Switch to bionic, change to derive package and version
2020-04-02 Dirk Eddelbuettel <edd@debian.org>
* README.md: Correct one badge URL
2020-04-01 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* README.md: Add Debian badge
2020-01-15 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.11
* configure.ac: Mark as 0.4.11
* configure: Rebuilt
2020-01-14 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp (getCallabilitySchedule): Generalize support for
Bond::Price to fall back to Callability::Price for QL < 1.17
2020-01-13 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* src/calendars.cpp (getCalendar): Allow for Null calendar
2019-08-07 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.10
* configure.ac: Mark as 0.4.10
* configure: Rebuilt
2019-08-06 Dirk Eddelbuettel <edd@debian.org>
* docker/ci/Dockerfile: Add -t unstable to get QuantLib 1.16
2019-08-06 Jeroen Ooms <jeroenooms@gmail.com>
* src/Makevars.win: Updated for QuantLib 1.16 (for current and next
Window toolchain)
* tools/winlibs.R: Idem
2019-05-15 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.9
* configure.ac: Mark as 0.4.9
* configure: Rebuilt
2019-05-14 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.8
* configure.ac: Mark as 0.4.8
* configure: Rebuilt
2019-03-16 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* configure.ac: Correct use of AC_DEFUN (leaves configure unaffected)
2019-01-12 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* README.md: Updates to README.me
2018-12-10 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.7
* configure.ac: Mark as 0.4.7
* configure: Rebuilt
2018-12-09 Dirk Eddelbuettel <edd@debian.org>
* man/AffineSwaption.Rd: Re-comment-out example for i386
2018-12-08 Dirk Eddelbuettel <edd@debian.org>
* man/*.Rd: Remove remaining SVN commit tag identifiers
2018-12-07 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.6
2018-11-22 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* .travis.yml: Remove unneeded compiler and language tags
2018-08-22 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor version
* src/calendars.cpp (addHolidays, removeHolidays): New functions
* man/Calendars.Rd: Added documentation
2018-08-16 Dirk Eddelbuettel <edd@debian.org>
* .travis.yml: Prettification for Travis file
2018-08-14 Dirk Eddelbuettel <edd@debian.org>
* docker/Dockerfile: Add Dockerfile to create test container
* .travis.yml: Adapted to use Docker container
2018-08-13 Dirk Eddelbuettel <edd@debian.org>
* .travis.yml: Try 20 minute timeout parameter
2018-08-11 Dirk Eddelbuettel <edd@debian.org>
* README.md: Updated to mention renewed Windows support
2018-08-10 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <jeroenooms@gmail.com>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* DESCRIPTION (Version, Date): New minor version
* src/affine.cpp: Use #include <rquantlib_internal.h>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* .travis.yml (before_install): Use https to download
2016-11-24 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* src/vanilla.cpp (europeanOptionEngine, americanOptionEngine):
Use Nullable<> on dividend parameters, other small rewrites
* R/options.R: Corresponding changes
2016-10-24 Francois Cocquemas <hfty@hfty.in>
* src/vanilla.cpp: Adjust intra-daily part (via patch by Dirk)
2016-10-23 Dirk Eddelbuettel <edd@debian.org>
* man/BermudanSwaption.Rd: Add links to SabrSwaption
2016-10-22 Francois Cocquemas <hfty@hfty.in>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* R/inline.R (.onLoad): Check for quantlib-config before using it
2016-08-04 Dirk Eddelbuettel <edd@debian.org>
* 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 <tleitch1@jhu.edu>
* 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 <edd@debian.org>
* DESCRIPTION (Version): Increased patch version and Date
* .travis.yml: Minor edits
2016-05-27 Guillaume Horel <guillaume.horel@serenitascapital.com>
* inst/unitTests/runit.businessdayconvention.R: New tests
* inst/unitTests/runit.schedule.R: Small cleanup
2016-05-19 Guillaume Horel <guillaume.horel@serenitascapital.com>
* src/curves.cpp: Added extra swap tenors
* man/DiscountCurve.Rd: Idem
2016-05-19 Terry Leitch <tleitch1@jhu.edu>
* 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 <edd@debian.org>
* .travis.yml (script): Turn travis_wait back on
2016-05-09 Terry Leitch <tleitch1@jhu.edu>
* 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 <edd@debian.org>
* R/zzz.R: Correct version comparison check
2016-03-26 Dirk Eddelbuettel <edd@debian.org>
* Contributing.md: New files