| NEWS | R Documentation |
Changes in RQuantLib code:
Equity options can now be analyzed via discrete dividends through two vectors of dividend dates and values (Francois Cocquemas in #73 fixing #72)
Some package and dependency information was updated in files
DESCRIPTION and NAMESPACE.
The new Date(time)Vector classes introduced with Rcpp
0.12.8 are now used when available.
Minor corrections were applied to BKTree, to vanilla
options for the case of intraday time stamps, to the
SabrSwaption documentation, and to bond utilities for the
most recent QuantLib release.
Changes in RQuantLib code:
Discount curve creation has been made more general by allowing additional arguments for day counter and fixed and floating frequency (contributed by Terry Leitch in #31, plus some work by Dirk in #32).
Swap leg parameters are now in combined variable and allow textual description (Terry Leitch in #34 and #35)
BermudanSwaption has been modfied to take option expiration and swap tenors in order to enable more general swaption structure pricing; a more general search for the swaptions was developed to accomodate this. Also, a DiscountCurve is allowed as an alternative to market quotes to reduce computation time for a portfolio on a given valuation date (Terry Leitch in #42 closing issue #41).
A new AffineSwaption model was added with similar interface to BermudanSwaption but allowing for valuation of a European exercise swaption utlizing the same affine methods available in BermudanSwaption. AffineSwaption will also value a Bermudan swaption, but does not take rate market quotes to build a term structure and a DiscountCurve object is required (Terry Leitch in #43).
Swap tenors can now be defined up to 100 years (Terry Leitch in #48 fising issue #46).
Additional (shorter term) swap tenors are now defined (Guillaume Horel in #49, #54, #55).
New SABR swaption pricer (Terry Leitch in #60 and #64, small follow-up by Dirk in #65).
Use of Travis CI has been updated and switch to maintained fork of deprecated mainline.
Changes in RQuantLib code:
Intra-day times are now available if QuantLib 1.7 or later is
used, and has been configured with --enable-intraday
New helper functions getQuantLibVersion() and
getQuantLibCapabilties()
New package startup code detects and warns about outdated QuantLib versions, or missing intra-day capability, unless not interactive.
The missing Monthly parameter has been added to
matchFrequency (fixing issue ticket #19)
Changes in RQuantLib code:
A simple shiny application is now included in the
directory shiny/DiscountCurve/ and accessible via the new
demo function ShinyDiscountCurve.
The option surface plotting example in arrays.R now
checks for rgl by using requireNamespace.
The files NAMESPACE and DESCRIPTION have been
updated to reflect all the suggestions of R CMD check.
The Travis CI tests now use binary Debian packages for all package dependencies making the tests a little faster.
Changes in RQuantLib code:
All function interfaces have been rewritten using Rcpp
Attributes. No SEXP remain in the function signatures. This
make the code shorter, more readable and more easily extensible.
The header files have been reorganized so that plugin use is
possible. An impl.h files is imported once for each compilation
unit: for RQuantLib from the file src/dates.cpp directory, from
a sourced file via a #define set by the plugin wrapper.
as<>() and wrap() converters have added for
QuantLib Date types.
Plugin support has been added, allowing more ad-hoc use via Rcpp Attributes.
Several Fixed Income functions have been added, and/or rewritten to better match the QuantLib signatures; this was done mostly by Michele Salvadore.
Several Date and Calendar functions have been added.
Calendar support has been greatly expanded thanks to Danilo Dias da Silva.
Exported curve objects are now more parsimonious and advance
entries in the table object roughly one business month at a
time.
The DiscountCurve and Bond curve construction
has been fixed via a corrected evaluation date and omitted the
two-year swap rate, as suggested by Luigi Ballabio.
The NAMESPACE file has a tighter rule for export of
*.default functions, as suggested by Bill Dunlap
Builds now use OpenMP where available.
The package now depends on QuantLib 1.4.0 or later.
Changes in RQuantLib tests:
New unit tests for dates have been added.
C++ code for the unit tests has also been converted to
Rcpp Attributes use; a helper function
unitTestSetup() has been added.
Continuous Integration via Travis is now enabled from the GitHub repo.
Changes in RQuantLib documentation:
This NEWS file has been added. Better late than never, as they say.