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ChangeLog
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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
2016-03-25 Dirk Eddelbuettel <edd@debian.org>
* R/discount.R: Minor edits and cleanups
* src/discount.cpp: Idem
* man/DiscountCurve.Rd: Minor correction
2016-03-28 Terry Leitch <tleitch1@jhu.edu>
* 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 <edd@debian.org>
* 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 <tleitch1@jhu.edu>
* 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 <edd@debian.org>
* DESCRIPTION: Release 0.4.2
* configure.ac: Mark as 0.4.2
* configure: Rebuilt
2015-12-02 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* R/bond.R: Add missing parameter 'Monthly' to freq arguments in
function matchFrequency() (issue ticket #19)
2015-09-11 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.4.1
2015-09-10 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* R/arrays.R (plotOptionSurface): Change from require() to the
now-preferred requireNamespace()
* NAMESPACE: Added more explicit S3method() registrations
2015-02-22 Dirk Eddelbuettel <edd@debian.org>
* .travis.yml (install): Now use only r-cran-* binary packages
2015-02-21 Dirk Eddelbuettel <edd@debian.org>
* .travis.yml (install): Use more r-cran-* packages from ppa:edd/misc
2015-02-12 Dirk Eddelbuettel <edd@debian.org>
* src/Makevars.win: Tweak suggested by Jeroen (cf GitHub issue #12)
2015-02-11 Dirk Eddelbuettel <edd@debian.org>
* .travis.yml (install): Switch to using ppa:edd/misc for QuantLib debs
2014-12-03 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* inst/NEWS.Rd: Expanded reflecting changes since last release
2014-11-27 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* .travis.yml: Call via travis_wait to allow for potential timeout
* NAMESPACE: Also export advanceDate()
2014-11-07 Michele Salvadore <michele.salvadore@gmail.com>
* 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 <edd@debian.org>
* NAMESPACE: Tighten exportPattern for .default as suggested by Bill Dunlap
2014-10-29 Michele Salvadore <michele.salvadore@gmail.com>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* src/bonds.cpp: Use the calendar from the RQL context
* src/zero.cpp: Ditto
2014-10-23 Dirk Eddelbuettel <edd@debian.org>
* src/dates.cpp (advanceDate): Use a calendar from the RQL context
2014-10-22 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* inst/unitTests/runit.options.R: Skip AsianOption() test on Windows
2014-10-17 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <michele.salvadore@gmail.com>
* 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 <edd@debian.org>
* DESCRIPTION: Added minor version, shorter Description
2014-10-13 Michele Salvadore <michele.salvadore@gmail.com>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* src/utils.cpp: Converted three more functions interfaces
* src/bonds.cpp: Idem
* inst/include/rquantlib_internal.h: Idem
2014-05-18 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* src/utils.cpp: Change getSchedule to use List argument
* inst/include/rquantlib_internal.h: Idem
2014-04-06 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* 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 <edd@debian.org>
* src/bonds.cpp: More Rcpp Attributes
* R/bond.R: More corresponding changes
2014-04-03 Dirk Eddelbuettel <edd@debian.org>
* src/bonds.cpp: More Rcpp Attributes
* R/bond.R: More corresponding changes
2014-04-02 Dirk Eddelbuettel <edd@debian.org>
* src/bonds.cpp: More Rcpp Attributes
* R/bond.R: More corresponding changes
2014-04-01 Dirk Eddelbuettel <edd@debian.org>
* src/bonds.cpp: Partially changed to use Rcpp Attributes
* R/bond.R: Corresponding changes
2014-03-31 Dirk Eddelbuettel <edd@debian.org>
* src/curves.cpp: Some updates reflecting newer Rcpp
2014-03-30 Dirk Eddelbuettel <edd@debian.org>
* 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 <edd@debian.org>
* src/implieds.cpp: Changed to use Rcpp Attributes
* R/implieds.R: Changed calls accordingly
* man/AmericanOptionImpliedVolatility.Rd: Updated
* man/EuropeanOptionImpliedVolatility.Rd: Updated