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R: News for Package 'RQuantLib'

• Use system QuantLib (if found by pkg-config) on Windows too (Tomas Kalibera in #192)

• Accommodate same test changes for schedules in QuantLib 1.38

• Support macOS 14 with a new compiler flag (Jeroen in #190)

• Correct two bashisms in configure.ac

• Updated detection of QuantLib libraries in configure

• The minimum version has been increased to QuantLib 1.25, and DESCRIPTION has been updated to state it too

• The dividend case for vanilla options still accommodates deprecated older QuantLib versions if needed (up to QuantLib 1.25)

• The configure script now uses PKG_CXXFLAGS and PKG_LIBS internally, and shows the values it sets

• Adjustments for QuantLib 1.35 and removal of deprecated code (in utility functions and dividend case of vanilla options)

• Adjustments for new changes in QuantLib 1.35

• Refactoring most C++ files making more use of both auto and make_shared to simplify and shorten expressions

• Small code cleanup removing duplicate R code

• Small improvements to C++ compilation flags

• Robustify internal version comparison to accommodate RC releases

• Adjustments to two C++ files for QuantLib 1.34

• Generalize macOS build to universal build (Jeroen in #179)

• Generalize Windows build to arm64 (Jeroen in #181)

• Generalize version string use to support cmake use (Jeroen in #181 fixing #180)

• Minor update to ci.yaml github action (Dirk)

• Correct three help pages with stray curly braces

• Correct two printf format strings

• Comment-out explicit selection of C++14

• Wrap one example inside if (interactive()) to not exceed total running time limit at CRAN checks

• Three calendaring / schedule tests were adjusted for slightly changed values under QuantLib 1.31

• Several checks in the configure script have been updated to reflect current versions of packages.

• Five examples no longer run because, even while extremely short, use of (too many default) threads was seen.

• Use of several rgl functions was updated to a new naming scheme in the package (kindly contributed by Duncan Murdoch in #174)

• A default argument is now given for option surface plots

• Changed call from SwaptionVolCube1 to SabrSwaptionVolatilityCube (conditional on using QuantLib 1.30 or later)

• Some other deprecation warnings were tweaked as in QL test file

• Builds for macOS and Windows were updated with more library build (changes kindly contributed by Jeron Ooms in #176 and #175)

• Some remaining throw calls were replace by Rcpp::stop

• Switch compilation to C++14 which is required by QuantLib 1.28 and, while standard with R 4.2.*, may be needed for R 4.1.*

• Documentationn for daycounters was updated and extended (Kai Lin)

• Deprecated daycounters were approtiately updated (Kai Lin)

• One example parameterization was changed to avoid error (Dirk)

• The Docker files were updated

• Changes in RQuantLib code:

  • Calendar support has been updated and completed to current QuantLib standards (Dirk in #161)

  • More daycounters have been added (Kai Lin in #163 fixing #162, #164)

  • The bonds pricers were update to changes in QuantLib 1.25 (Dirk)

• Changes in RQuantLib package and setup:

  • Some package metadata was removed from the README.md (Dirk)

• Changes in RQuantLib code:

  • Several new calendars were added (Dirk in #159 closing #155)

• Changes in RQuantLib package and setup:

  • Docker containers are now updated on a monthly schedule via GitHub Actions

  • The configure files were updated to the standard of version 2.69 following a CRAN request

• Changes in RQuantLib code:

  • Small updates to DESCRIPTION and README.md

  • Switch CI use to r-ci

  • An eleven-year old typo was correct in a manual page (Dirk in #156 fixing #155 with thanks to @klin133)

  • Daycount convention calls deprecated in QuantLib 1.23 were updated (Dirk in #157)

  • Updated remaining http:// URLs in documentation to https://

• Changes in RQuantLib code:

  • Calls deprecated-in-QuantLib 1.18 were updated (Dirk in #146).

• Changes in RQuantLib code:

  • The 'Null' calendar without weekends or holidays is now recognized.

  • The package now uses tinytest for unit tests (Dirk in #140).

  • Calls deprecated-in-QuantLib 1.17 were updated (Dirk in #144).

• Changes in RQuantLib build system:

  • The src/Makevars.win and tools/winlibs.R file get QuantLib 1.16 for either toolchain (Jeroes in #136).

  • The custom Docker container now downloads QuantLib from Debian unstable to get release 1.16 (from yesterday, no less)

• Changes in RQuantLib code:

  • Completed switch to QuantLib::ext namespace wrappers for either shared_ptr use started in 0.4.8.

• Changes in RQuantLib code:

  • Source code supports Boost shared_ptr and C+11 shared_ptr via QuantLib::ext namespace like upstream.

• Changes in RQuantLib build system:

  • The configure.ac file no longer upsets R CMD check; the change does not actually change configure.

• Changes in RQuantLib tests:

  • Thanks to the updated #rwinlib/quantlib Windows library provided by Josh, all tests that previously exhibited issues have been re-enabled (Dirk in #126).

• Changes in RQuantLib documentation:

  • The CallableBonds example now sets an evaluation date (#124).

  • Thanks to the updated #rwinlib/quantlib Windows library provided by Josh, examples that were set to dontrun are re-activated (Dirk in #126). AffineSwaption remains the sole holdout.

• Changes in RQuantLib build system:

  • The src/Makevars.win file was updated to reflect the new layout used by the upstream build.

  • The -DBOOST_NO_AUTO_PTR compilation flag is now set.

• Changes in RQuantLib code:

  • The code was updated for release 1.14 of QuantLib.

  • The code was updated for Boost 1.67 or later (#120 fixing #119, Debian bug report #911957) to support

  • Fewer examples and tests are running on Windows.

  • Corrected bond function documentation to use dayCounter instead of accruedDayCounter.

  • Two new functions addHolidays and removeHolidays enable custom local holiday management (#115).

  • Corrected bond function documentation to use dayCounter instead of accruedDayCounter.

  • Travis CI now uses a custom Docker container, also added a deployment container building on the testing container.

• Changes in RQuantLib code:

  • The old rquantlib.h header is deprecated and moved to a subdirectory. (Some OS confuse it with RQuantLib.h which Rcpp Attributes like to be the same name as the package.) (Dirk in #100 addressing #99).

  • The files in src/ now include rquantlib_internal.h directly.

  • Several ‘unused variable’ warnings have been taken care of.

  • The Windows build has been updated, and now uses an external QuantLib library from 'rwinlib' (Jeroen Ooms in #105).

  • Three curve-building example are no longer running by default as win32 has seen some numerical issues.

  • Two Rcpp::compileAttributes generated files have been updated.

• 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.

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