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
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
2014-03-28 Dirk Eddelbuettel <edd@debian.org>
* src/bermudan.cpp: Changed to use Rcpp Attributes
* R/bermudan.R: Changed call accordingly
* src/bermudan.cpp: Updated copyright header with gnu.org URL
* R/bermudan.R: Idem
2014-03-27 Dirk Eddelbuettel <edd@debian.org>
* src/hullwhite.cpp: Changed to use Rcpp Attributes
* R/hullWhiteCalibration.R: Changed call accordingly
* src/hullwhite.cpp: Updated copyright header with gnu.org URL
* R/hullWhiteCalibration.R: Idem
* .travis.yml: Revert to main repo now that pull request is in
2014-03-26 Dirk Eddelbuettel <edd@debian.org>
* src/discount.cpp: Changed to use Rcpp Attributes
* R/discount.R: Changed call in default methods accordingly
* src/discount.cpp: Updated copyright header with gnu.org URL
* R/discount.R: Idem
2014-03-25 Dirk Eddelbuettel <edd@debian.org>
* src/barrier_binary.cpp: Changed to use Rcpp Attributes
* R/implied.R: Changed call in default methods accordingly
* R/option.R: Idem
* man/BarrierOption.Rd: Updated as param. list no longer returned
* man/BinaryOption.Rd: Idem
* man/BinaryOptionImpliedVolatility.Rd: Idem
* src/barrier_binary.cpp: Updated copyright header with gnu.org URL
* R/implied.R: Idem
* R/option.R: Idem
2014-03-24 Dirk Eddelbuettel <edd@debian.org>
* src/asian.cpp: Changed to use Rcpp Attributes
* R/asian.R: Changed call in default method accordingly
* man/asian.Rd: Updated as parameter list no longer returned
* src/asian.cpp: Updated copyright header with gnu.org URL
* R/asian.R: Idem
* inst/unitTests/runit.calendar.R: Corrected mode
2014-03-23 Dirk Eddelbuettel <edd@debian.org>
* src/zero.cpp: Changed to use Rcpp Attributes
2014-03-22 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp: Changed to use Rcpp Attributes
* src/daycounter.cpp: Idem
* R/calendars.R: Commented-out / adapted as RcppExports.R takes over
* R/dayCounter.R: Commented-out as RcppExports.R takes over
* man/Calendars.Rd: Minor adjustments to documentation of default argument
* src/rquantlib.h: Moved from inst/include to avoid lower / uppercase
clash; this header really is an internal definition header; sources
the content formerly in quantlib.h
* inst/include/rquantlib_internal.h: Formerly known as rquantlib.h
* inst/include/rquantlib_wrappers.h (Rcpp): Moved definition of as<>
and wrap for Date and DateVector here to be read by plugin; added
definitions for vector of dates
* src/rquantlib: New as<> and wrap converters for DateVector
* src/bermudan.cpp: Use as<> and wrap converters for Date and DateVector
* src/bonds.cpp: Idem
* src/calendars.cpp: Idem
* src/daycounter.cpp: Idem
* src/discount.cpp: Idem
* src/hullwhite.cpp: Idem
* src/utils.cpp: Idem
* src/zero.cpp: Idem
* src/utils.cpp: Retire old dateFromR() converter replaces by as<>
* inst/include/RQuantLib.h: Also include 'wrapper' header for converters
* R/inline.R (inlineCxxPlugin): Plugin reads header RQuantLib.h
2014-03-21 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp: Added as<> and wrap conversion for QuantLib::Date
* src/dates.cpp (advanceDate): Added simple test date function, also
uses Rcpp Attributes as a first test case
* inst/include/RQuantLib.h: Added and edited to allow inclusion of
actual rquantlib.h header via RcppExports
2014-03-20 Dirk Eddelbuettel <edd@debian.org>
* src/bonds.cpp (FittedBondCurve): Converted from deprecated
FixedRateBondHelper to BondHelper with a FixedRateBond
2014-03-16 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp: Applied patch by Danilo Dias da Silva to support
more calendars by adding more than two dozen new identifiers
* man/Calendars.Rd: Updated accordingly
2014-03-09 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.12
* man/FittedBondCurve.Rd: Test for suggested package zoo before use
2014-03-08 Dirk Eddelbuettel <edd@debian.org>
* configure: Updated for Rcpp 0.11.0 and later
* configure.in: Idem
* src/Makevars.win: Updated for Rcpp 0.11.0 and later
* R/inline.R (.onLoad): Set a default value of NULL for the QL libs
and headers, and only override if either the corresponding env.vars
are set are the quantlib-config script can be found
* R/inline.R: Only supply LdFlags() and CFlags() results if stored
values are non-null
2014-02-05 Dirk Eddelbuettel <edd@debian.org>
* R/inline.R (.onLoad): No longer need to add LdFlags() from Rcpp to
PKG_LIBS when preparing ql_libs.
* R/inline.R (inlineCxxPlugin): Rcpp.plugin.maker() can now be called
directly as it is imported from Rcpp
* DESCRIPTION: Add a requirement for Rcpp 0.11.0 or later
* NAMESPACE: Import Rcpp.plugin.maker from Rcpp
2014-01-26 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.11
* R/inline.R: For now, revert to using Rcpp:::Rcpp.plugin.maker() as
only unreleased Rcpp exports this right now; will use '::' later
2014-01-15 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp: Make the epoch-offset between QL and R an internal
const here, rather than accessing it from R's Date class
* DESCRIPTION: Update Depends and Imports relationships
* R/inline.R: Call Rcpp::LdFlags() now that it is exported
* R/inline.R: Idem for Rcpp::Rcpp.plugin.maker()
* man/AsianOption.Rd: Indent to less that 90 columns
* man/BinaryOption.Rd: Idem
* man/BondUtilities.Rd: Idem
* man/Calendars.Rd: Idem
* man/EuropeanOptionArrays.Rd: Idem
* man/FixedRateBond.Rd: Idem
* man/ImpliedVolatility.Rd: Idem
* R/mod.R: Do not attempt to load modules for now
2013-05-26 Dirk Eddelbuettel <edd@debian.org>
* R/inline.R: Adding a plugin for use by Rcpp attribute or inline
* inst/include/rquantlib.h: Moved from src/ to expose the RQuantLib
API for use by the plugin (and the header file / API needs to be
properly defined; this file is probably too large)
* src/Makevars.in: Adjust for header file move
* src/Makevars.win: Idem
2013-02-17 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.10
* man/Bond.Rd: Use a flat discount curve in example
* man/DiscountCurve.Rd: Idem
* man/FixedRateBond.Rd: Idem
* man/FLoatingRateBond.Rd: Idem
* man/ZeroCouponBond.Rd: Idem
* R/arrays.R (plotOptionSurface): Use explicit `rgl::' prefix for all
functions from the rgl package to suppress spurious codetools warning
* demo/OptionSurfaces.R: Reindented
* cleanup: Simplified and updated
2012-12-02 Dirk Eddelbuettel <edd@debian.org>
* src/discount.cpp (DiscountCurve): R-devel on Windows now longer
likes a data.frame instantiation here, so passing back as list and ...
* R/discount.R (DiscountCurve.default): ... making it a data.frame here.
2012-12-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.9
* src/vanilla.cpp (AmericanOption): Support engine choice, adding
"CrankNicolson" to the default "BaroneAdesiWhaley" as the former adds
delta + gamma -- thanks to Bryan Lewis for the suggestion
* R/option.R: Support new the new 'engine' option
* man/AmericanOption.Rd: Document new 'engine' option
* src/bonds.cpp: Remove remaining std::cout use
* src/curve.cpp: Idem
* src/zero.cpp: Idem
2011-12-27 Dirk Eddelbuettel <edd@debian.org>
* src/Makevars.win: Add -I"$(BOOSTLIB)" which is what other CRAN
packages depending on Boost do
2011-09-11 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.8
2011-09-10 Dirk Eddelbuettel <edd@debian.org>
* R/dayCounter.R: Added new function 'setEvaluationDate' as a simple
pass-through function to set a date as the QuantLib evaluation date
* src/daycounter.cpp: C++ part of setEvaluationDate()
* man/Calendars.Rd: Documentation for setEvaluationDate()
2011-09-09 Dirk Eddelbuettel <edd@debian.org>
* src/discount.cpp (DiscountCurve): Cache the (global) value of
QuantLib::Settings::instance().evaluationDate() and reset it at end,
with thanks to Helmut Heiming for the bug report.
2011-05-02 Dirk Eddelbuettel <edd@debian.org>
* configure.in: If g++ version 4.6 or newer is detected, add the
-fpermissive option (which was also required in a Debian-only fix
release of 0.3.7 which was made today)
2011-04-04 Dirk Eddelbuettel <edd@debian.org>
* src/Makevars.win: Simplified using lib${R_ARCH}
2011-04-03 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.7
* man/ConvertibleBond.Rd: Commented-out URLs with 70+ character
length as they trigger a bug when the corresponding latex manual is
typeset with the a4 style file. Thanks to Uwe Ligges for spotting this.
* man/Enum.Rd: Idem
* man/FittedBondCurve.Rd: Idem
* src/Makevars.win: Adjust link command to '-lQuantLib', and support
32 and 64 bit builds of the QuantLib library
2011-02-21 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.6
* src/bermudan.cpp: Added two explicit casts to double scalar
* src/utils.cpp: Idem
2010-11-15 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.5
* DESCRIPTION: Added RUnit to Suggests:
* src/bonds.cpp: Use std::vector< RelinkableHandle < Quote > > to
store a vector of quotes, rather than a variable length array which
g++ -pedantic and the ISO C++ standard both dislike
* src/zero.cpp: Idem
* man/Calendars.Rd: Folded manual pages adjust.Rd, advance.Rd,
businessDaysBetween.Rd, dayCount.Rd, yearFraction into this.
* man/ConvertibleBond.Rd: Folded manual pages
ConvertibleFixedCouponBond.Rd, ConvertibleFloatingCouponBond.Rd, and
ConvertibleZeroCouponBond.Rd into this one.
* man/FixedRateBond.Rd: Folded manual pages FixedRateBondYield.Rd
FixedRateBondPriceByYield.Rd into this one.
* man/ZeroCouponBond.Rd: Folded manual pages ZeroPriceByYield.Rd
and ZeroYield.Rd into this one.
* tests/RQuantlib.Rout.save: Updated to results from running against
QuantLib 1.0.1 which affected one yield computation at the third
decimal, as well as one date calculation.
2010-11-01 Dirk Eddelbuettel <edd@debian.org>
* man/AmericanOption.Rd: Correction to how generics are documented
* man/AmericanOptionImpliedVolatility.Rd: Idem
* man/BarrierOption.Rd: Idem
* man/BinaryOptionImpliedVolatility.Rd: Idem
* man/BinaryOption.Rd: Idem
* man/EuropeanOptionImpliedVolatility.Rd: Idem
* man/EuropeanOption.Rd: Idem
* man/Bond.Rd: Idem
* man/CallableBond.Rd: Idem
* man/ConvertibleFixedCouponBond.Rd: Idem
* man/ConvertibleFloatingCouponBond.Rd: Idem
* man/ConvertibleZeroCouponBond.Rd: Idem
* man/FixedRateBondPriceByYield.Rd: Idem
* man/FixedRateBond.Rd: Idem
* man/FixedRateBondYield.Rd: Idem
* man/FloatingRateBond.Rd: Idem
* man.ImpliedVolatility.Rd: Idem
* man/Option.Rd: Idem
* man/ZeroCouponBond.Rd: Idem
* man/ZeroPriceByYield.Rd: Idem
* man/ZeroYield.Rd: Idem
* R/bond.R: Standardised generics
* DESCRIPTION: Added Suggests: zoo
2010-08-09 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.4
* src/rquantlib.h: No longer use 'using namespace QuantLib'
* src/asian.cpp: Switch to explicitly reference all QuantLib objects
* src/barrier_binary.cpp: Idem
* src/bermudan.cpp: Idem
* src/bonds.cpp: Idem
* src/calendars.cpp: Idem
* src/curves.cpp: Idem
* src/daycounter.cpp: Idem
* src/discount.cpp: Idem
* src/hullwhite.cpp: Idem
* src/implieds.cpp: Idem
* src/utils.cpp: Idem
* src/vanilla.cpp: Idem
* src/zero.cpp: Idem
2010-08-07 Dirk Eddelbuettel <edd@debian.org>
* R/arrays.R: Rewrote EuropeanOptionArrays() to have vectorisation on
the C++ side rather than in R; external interface unchanged and the
old implementation is still available as a fallback if needed
* src/vanilla.cpp: New function EuropeanOptionArrays() looping over a
grid defined by vectors of any two of the six possible numeric inputs
* man/EuropeanOptionArrays.Rd: Updated accordingly
* R/arrays.R: New function plotOptionSurface() (from existing demo)
* man/EuropeanOptionArrays.Rd: Added documentation
* src/*cpp: Drop QL_ prefix from functions called from R
* R/*: Drop QL_ prefix in functions called by .Call()
2010-08-06 Dirk Eddelbuettel <edd@debian.org>
* src/rquantlib.hpp: Renamed to rquantlib.h to suppress a warning
in the upcoming R release (as requested by Kurt Hornik)
* src/*.cpp: Adjust to '#include <rquantlib.h>' instead
2010-08-03 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.3
2010-08-02 Dirk Eddelbuettel <edd@debian.org>
* inst/unitTests/runit.options.R: Updated asian option test for
arithmetic averaging based on QuantLib's test-suite code
* R/asian.R: Removed two unused parameters, updated use of maturity
used only for geometric averaging
* man/asian.Rd: Corresponding manual page update
* src/Makevars.win: Simplified Makefile.win into Makevars.win and
updated to e.g. the new sub-arch path for Rscript.exe
2010-07-05 Khanh Nguyen <knguyen@cs.umb.edu>
* src/asian.cpp: Added arithmetic average case
* R/asian.R: Idem
* man/asian.Rd: Idem
2010-06-30 Dirk Eddelbuettel <edd@debian.org>
* inst/unitTests/runit.calendar.R: Beginnings of calendar unit tests
2010-06-23 Dirk Eddelbuettel <edd@debian.org>
* src/*: Converted remainder of code to new Rcpp API
2010-06-20 Dirk Eddelbuettel <edd@debian.org>
* R/calendar.R: New helper function setCalendarContext()
setting calendar, fixingDays and settleDate
* src/calendar.cpp: Implementation, setting RQLContext
* man/setCalendarContext.Rd: Documentation
* src/bermudan.cpp: take calendar info from RQLContext
* src/discount.cpp: idem
* src/utils.cpp: idem
* src/*.cpp: Some minor cleanup and reindentation,
ensure Settings::instance().evaluationDate() is set
2010-06-19 Dirk Eddelbuettel <edd@debian.org>
* src/bonds.cpp: Converted to new API
* src/utils.cpp: Factored-out utility functions from bonds.cpp
* src/rquantlib.hpp: Declarations for new utility functions
* src/bonds.cpp: Some refactoring
2010-06-18 Dirk Eddelbuettel <edd@debian.org>
* src/bonds.cpp: Converted to new API
2010-06-17 Dirk Eddelbuettel <edd@debian.org>
* src/curves.cpp: Converted to new API
* src/discount.cpp: Idem
* src/hullwhite.cpp: Idem
* src/bermudan.cpp: Idem
2010-06-16 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp: Added simple getOptionType() helper
* src/rquantlib.hpp: Added simple getOptionType() helper definition
* src/*cpp: Use getOptionType()
* src/asian.cpp: Converted to new API
* src/barrier_binary.cpp: Idem
* src/implieds.cpp: Idem
* src/cbond.cpp: Idem
* src/daycounter.cpp: Idem
* src/zero.cpp: Idem
2010-06-15 Dirk Eddelbuettel <edd@debian.org>
* src/vanilla.cpp: Converted to new API
2010-06-14 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp: Yet more simplification from "new" Rcpp API
* R/calendars.R: Simpler too as we get simpler result objects back
2010-06-12 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp: More code simplification using "new" Rcpp API
* src/utils.cpp: Add Brazil + South Korea to getCalendar()
* src/calendars.cpp: Move getCalendar() into this file
2010-06-11 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp: Simplified code by using more of Rcpp's new API
* DESCRIPTION: Encode "Rcpp (>= 0.8.2.2)" aka current SVN
* DESCRIPTION: Switch to 'LinkingTo: Rcpp'
* configure.in: No longer need CxxFlags for Rcpp thanks to LinkingTo
* src/Makefile.win: Idem
2010-06-09 Dirk Eddelbuettel <edd@debian.org>
* man/DiscountCurve.Rd: Uncomment futures entries as there are
numerical issues (in QuantLib) with the spline curve fit when present
2010-04-29 Dirk Eddelbuettel <edd@debian.org>
* src/*.cpp: Suppress a few g++ warnings
* src/calendar.cpp: Added South Korea and Brazil
2010-04-21 Dirk Eddelbuettel <edd@debian.org>
* inst/unitTests/runitOptions.R: Updated binary option test
2010-04-05 Khanh Nguyen <knguyen@cs.umb.edu>
* R/hullWhiteCalibration.R: added Hull-White calibration
* src/hullwhite.cpp: added Hull-White calibration
2010-02-12 Khanh Nguyen <knguyen@cs.umb.edu>
* R/*,src/*: Remove some deprecated fixed income code
* tests/*: Remove corresponding tests
2010-01-23 Dirk Eddelbuettel <edd@debian.org>
* NAMESPACE: Some small cleanups
2010-01-22 Khanh Nguyen <knguyen@cs.umb.edu>
* NAMESPACE: Added, filled with functions and methods
* R/*Bond.R: add default values to bond functions, especially the date
parameters (dayCounter, settlement days, compounding frequency,..)
so that it is less confusing when using the functions.
* man/*Bond.Rd: idem
* New examples that use default values for bonds.
2010-01-14 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.2 which works with QuantLib 0.9.9
(as well as with the brand-new first beta for QuantLib 1.0.0)
* src/Makefile.win: Keep QL 0.9.9 hard-coded until 1.0.0 is out
2010-01-14 Khanh Nguyen <knguyen@cs.umb.edu>
* pkg/R/calendars.R: Fix generic function issue with advance
* src/dayCounter.cpp: Added dayCounter functions
* pkg/R/dayCounter.R: idem
* man/dayCount.R: idem
* man/yearFraction.R: idem
* man/advance.R: idem
2010-01-13 Dirk Eddelbuettel <edd@debian.org>
* src/asian.cpp: updated for Rcpp (>= 0.7.0), switched to explicit
Rf_error() and Rf_length() where needed with R_NO_REMAP defined
* src/barrier_binary.cpp: idem
* src/bermudan.cpp: idem
* src/bonds.cpp: idem
* src/discount.cpp: idem
* src/implieds.cpp: idem
* src/rquantlib.hpp: idem
* src/utils.cpp: idem
* src/vanilla.cpp: idem
* DESCRIPTION: Depends on Rcpp (>= 0.7.0)
2010-01-12 Khanh Nguyen <knguyen@cs.umb.edu>
* src/calendars.cpp: Add new calendaring functionality
* src/calendars.hpp: idem
* R/calendars.R: idem
* man/endOfMonth.Rd: idem
* man/isHoliday.Rd: idem
* man/holidayList.Rd: idem
* man/businessDaysBetween.Rd: idem
* man/adjust.Rd: idem
* man/isEndOfMonth.Rd: idem
* man/isWeekend.Rd: idem
2009-12-12 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.1 for QuantLib 0.9.9
* src/Makefile.win: Update to QL 0.9.9 as well
2009-11-02 Dirk Eddelbuettel <edd@debian.org>
* man/*.Rd: Commented-out a few empty sections as noticed by R 2.10.0
* man/*.Rd: Update the curve data for the curve examples using data
from QuantLib's Examples/Swap/swapvaluation.cpp; with QuantLib
0.9.9 all numerical issues appear to be gone
* man/*.Rd: Some minor white-space changes
* src/*cpp: Small updates for QuantLib 0.9.9:
- FDEuropeanEngine now needs a template argument for the scheme,
current default is CrankNicholson
- NULL_RateHelper construct no longer works, so we test the return
from getRateHelper() via ptr.get() == NULL
2009-10-16 Dirk Eddelbuettel <edd@debian.org>
* man/DiscountCurve.Rd: Change as per QL 0.9.7's Swap/swapvaluation.cpp
2009-09-06 Dirk Eddelbuettel <edd@debian.org>
* src/Makefile.win: Small rewrite to automatically build over all
included .cpp files and some other fixes
2009-09-05 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.3.0 reflecting all the excellent
Google Summer of Code 2009 work by Khanh Nguyen as well
as other small enhancements
[ Changes by Khanh Nguyen below ]
* R/bond.R: Added pricing functionality for various new instrument
* R/discount.R: Idem
* src/bonds.cpp: Idem
* src/discount.cpp: Idem
* src/utils.cpp: Idem
* man/Bond.Rd: Added documentaiont for new functions
* man/CallableBond.Rd: Idem
* man/ConvertibleFixedCouponBond.Rd: Idem
* man/ConvertibleFloatingCouponBond.Rd: Idem
* man/ConvertibleZeroCouponBond.Rd: Idem
* man/Enum.Rd: Idem
* man/FittedBondCurve.Rd: Idem
* man/FixedRateBond.Rd: Idem
* man/FixedRateBondCurve.Rd: Idem
* man/FixedRateBondPriceByYield.Rd: Idem
* man/FixedRateBondYield.Rd: Idem
* man/FloatingRateBond.Rd: Idem
* man/ZeroCouponBond.Rd: Idem
* man/ZeroPriceByYield.Rd: Idem
* man/ZeroYield.Rd: Idem
* rests/RQuantLib.R: Added tests for new functions
* rests/RQuantLib.Rout.save: Added tests ouput for new functions
[ Changes by Dirk Eddelbuettel below ]
* man/BondUtilities.Rd: Added documentation for new function
* R/calendars.R: Add support to access QuantLib calendars from R
* src/calendars.cpp Idem
* man/Calendars.Rd: Idem
* src/bonds.cpp: Small C++ fixes to suppres g++ warnings
* INDEX: Updated via 'R CMD build --force'
* inst/QuantLib-License.txt: Updated to version from QL 0.9.7
2009-03-30 Dirk Eddelbuettel <edd@debian.org>
* src/{barrier_binary,implied,vanilla}.cpp: More direct
initialization of option parameters
* man/*.Rd: Corrected use of quotes which do not need escapes
2009-03-03 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.2.11, updated for Rcpp 0.6.4
* src/{*.cpp,rquantlib.hpp}: Updated for Rcpp 0.6.4 and the
requirement to explicit reference all object from namespace
std, e.g. now use std::string
* src/*: Updated all copyright notices to 2009
2008-12-04 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.2.10, updated for QL 0.9.7 and Rcpp 0.6.1
* configure.in: Updated for new scheme of external Rcpp package,
added explicit check for Rscript, added some more messages, make
sure Rscript is looked for inside R_HOME as well
* RcppSrc/: removed, we now use Rcpp (>= 0.6.1)
* configure.win: Just check for QUANTLIB_ROOT variable, no more
building of RcppSrc/ as we use the externally supplied Rcpp package
* R/RcppVersion: removed as Rcpp is no longer include
* man/RcppVersion.Rd: removed as Rcpp is no longer include
* src/Makefile.win: Updated to reflect external Rcpp use
* src/rquantlib.hpp: include Rcpp.h, not .hpp; define dateFromR()
* src/utils.cpp: Added dateFromR() to deal with different date
offsets between R (using the Unix epoch) and QL (using spreadsheet
conventions)
* src/bermudan.cpp: A few small changes related to external Rcpp
* src/discount.cpp: A few small changes related to external Rcpp
2008-08-09 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.2.9, updated for QL 0.9.6
* configure.in: Updated for 0.9.6
* src/curves.cpp: Minor updates for QL 0.9.6 API changes
2008-01-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.2.8, updated for QL 0.9.0
* R/option.R: For BinaryOption, added new arguments 'binType' and
'excType' to select the type of Binary (cash, asset or gap) and
exercise (european or american).
* RcppSrc/Rcpp.cpp,src/*cpp: Added const char* casts for Rprintf
* src/BinaryOptions.cpp: Support new binType and excType arguments
* src/*cpp: Generally updated for QL 0.9.0 changes
* src/discount.cpp: New boolean variable flatQuotes
* man/{BinaryOption,DiscountCurve}.Rd: Updated for new arguments
* inst/unitTests: Added unit testing using the RUnit package
2007-07-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.2.7, updated for QL 0.8.1
* configure.in: Require QuantLib 0.8.1, and Boost 1.34.0
2007-06-30 Dominick Samperi <djsamperi@DecisionSynergy.com>
* src/bermudan.cpp, src/curves.cpp: Updated for QL 0.8.1
2007-02-25 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Relase 0.2.6 updated for Quantlib 0.4.0
* configure.in: Require Quantlib 0.4.0
2007-02-24 Dominick Samperi <djsamperi@DecisionSynergy.com>
* src/bermudan.cpp: Several updates for Quantlib 0.4.0
2006-11-10 Dirk Eddelbuettel <edd@debian.org>
* man/*.Rd: Updates to default method docs suggested by Kurt Hornik
2006-11-06 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.2.5 updated for QuantLib 0.3.14
* src/*.cpp: Several minor changes for class renaming and
interface changes on the QuantLib side of things
2006-08-14 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.2.4 updated for QuantLib 0.3.13; this
required some changes in the fixed-income functions
* configure.in: Tests for QuantLib version 0.3.13
* tests/RQuantLib.R: Added the beginnings of unit-tests
* tests/RQuantLib.Rout.save: Control output for unit tests
2006-07-23 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Release 0.2.3 using the new RcppTemplate version 4.2
* src/*: RcppTemplate is now used for all R/C++ interfaces
features from the new RcppTemplate
2006-03-30 Dirk Eddelbuettel <edd@debian.org>
* Release 0.2.2 once more with thanks to Dominick
2006-03-23 Dominick Samperi <djsamperi@DecisionSynergy.com>
* configure.in, configure.win,
inst/lib/Makefile, inst/lib/Makefile.win,
src/Makefile, src/Makefile.win,
cleanup: modified to support use of RcppTemplate V2.2.
RQuantLib shared library (or DLL) is created by linking
against RcppSrc/libRcpp.a.
Tested against QuantLib 0.3.12.
* Rcpp.{cpp,hpp}: added latest versions from RcppTemplate package.
2006-01-10 Dirk Eddelbuettel <edd@debian.org>
* Release 0.2.1 with thanks to Dominick
2006-01-10 Dominick Samperi <dsamperi@DecisionSynergy.com>
* man/DiscountCurve.Rd: Fixed typo and commented out rates
needing to be fractions in fixed formating in DiscountCurve example
* src/Rcpp.{hpp,cpp},src/{curves,discount,bermudan}.cpp:
modified to throw exceptions instead of calling R's error()
function.
2005-10-27 Dominick Samperi <dsamperi@DecisionSynergy.com>
* src/Rcpp.{hpp,cpp}: Some minor adjustments. Moved matrix and
vector indexing into header file.
* src/rquantlib.hpp: Added ifdef to protect against multiple includes.
2005-10-26 Dirk Eddelbuettel <edd@debian.org>
* Preparing release 0.2.0 regrouping the numerous changes --
contributed mostly by Dominick -- since the 0.1.13 release
2005-10-13 Dominick Samperi <dsamperi@DecisionSynergy.com>
* src/Rcpp.{hpp,cpp}: Improved error messages
2005-10-08 Dominick Samperi <dsamperi@DecisionSynergy.com>
* src/Rcpp.cpp: Implemented Rcpp, R/C++ interface classes, and
modified discount.cpp and bermudan.cpp to use it.
* src/Rcpp.hpp: Header files for latter.
2005-10-03 Dominick Samperi <dsamperi@DecisionSynergy.com>
* inst/Boost-License.txt, inst/QuantLib-License.txt: License files
for Boost and QuantLib.
* Windows is now supported using a binary package that does not
require the user to install a compiler, Boost, or QuantLib. Had
to add Makefile.win, configure.win, etc.
* R/discount.R: new DiscountCurve function that constructs the
spot term structure of interest rates based on
market observables like
deposit rates, futures prices, FRA rates, and swap rates. Supports
the fitting of discount factors, forward rates, or zero coupon
rates, using linear, log-linear, and cubic spline interpolation.
* man/DiscountCurve.Rd: man page for DiscountCurve.
* R/bermudan.R: new function that prices a Bermudan swaption
using a choice of four models: G2 analytic, Hull-White analytic,
Hull-White tree, and Black-Karasinski tree.
* man/BermudanSwaption.Rd: man page for BermudanSwaption.
* src/curves.cpp: utility code for curve construction.
* src/discount.cpp: implements DiscountCurve.
* src/bermudan.cpp: implements BermudanSwaption.
* src/utils.cpp: added utility functions to simplify communication
with R.
* src/rquantlib.hpp: contains prototypes for utility functions and
new definitions for Windows.
* Changed: suffix .cc to .cpp, and .h to .hpp.
2005-09-16 Dirk Eddelbuettel <edd@debian.org>
* demo/OptionSurfaces.R: added demo with OpenGL visualizations
of option analytics, requires rgl package
[ Update: not released as rgl crashes on some platforms ]
2005-08-06 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.13 matching the new QuantLib 0.3.10 release
* Implied volatilies are back!
With gcc/g++ 4.0, the segmentation fault that I was seeing
on implied volatility using gcc/g++ 3.3 (but which others did
not see with gcc/g++ 3.2) has disappeared, so the
corresponding code has been reactivated.
* BinaryOptionImpliedVolatility() is also back
* src/*.cc, R/*.R: Removed a lot of commented-out code
2005-04-26 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.12 matching the upcoming QuantLib 0.3.9 release
* configure.in: Test for QuantLib >= 0.3.8
* src/*.cc: Several changes for QuantLib 0.3.9:
- use Handle<...> instead of RelinkableHandle<...>
- use YieldTermStructure instead of TermStructure
- use today + alength instead of today.plusDays
2004-12-27 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.11 matching the new QuantLib 0.3.8 release
* configure.in: Added tests for Boost headers, with thanks and
a nod to QuantLib for the actual autoconf code
* src/{barrier_binary.cc,implieds.cc,vanilla.cc}: Option type
'Straddle' now unsupported, hence commented out
* man/*.Rd: Similarly removed reference to straddle from docs
* src/{barrier_binary.cc,implieds.cc,utils.cc,vanilla.cc}:
Renamed BlackScholesStochasticProcess to BlackScholesProcess
* src/vanilla.cc: Changed Handle to boost::shared_ptr
2004-09-12 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.10
* Switched to using Boost library as per QuantLin 0.3.7
* AmericanOption now uses the Barone-Adesi-Whaley approximation
* Implied volatility for both European and American options
currently segfaults when called from R, though the code itself
works as a standalone. The code also works from R when the implied
calculation call is skipped. Something is corrupting memory
somewhere. For now, we return NA for either function.
2004-08-06 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION: Added SystemRequirements for QuantLib
2004-05-26 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.9
* man/EuropeanOption.Rd: Added corrections for the issues raised
by Ajay Shah in the Debian bug report #249240
* man/{AmericanOption,BarrierOption,BinaryOption}.Rd: Idem
2004-04-05 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.8
* src/{barrier_binary,implieds,utils,vanilla}.cc: Updated to the
new QuantLib 0.3.5 pricer framework. This currently implies
that options priced using the binomial engines do not have
Greeks; this should be addressed in a future QuantLib release.
* man/{BarrierOption,AmericanOption}.Rd: Note that Greeks are
currently unavailable with binary pricers
2003-11-28 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.7
* src/barrier_binary.cc:
-- split off from RQuantLib.cc
-- added three more greeks to Barrier Option
-- reflected small change in QuantLib types for Barrier Options
* src/implieds.cc
-- split off from RQuantLib.cc
-- rewritten functions for implied volatility on European and
American options using new QuantLib framework
* src/utils.cc
-- split off from RQuantLib.cc
* src/vanilla.cc
-- rump of RQuantLib.cc, renamed
2003-07-31 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.6
* man/{EuropeanOption,ImpliedVolatility}: Two small corrections
to argument call mismatches found by R CMD check
2003-05-31 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.5
* R/{option,implied}.R: generic/method consistency improved
following heads-up, and subsequent help, from BDR. Thanks!
2003-03-25 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.4
* data/: Removed empty directory as suggested by Kurt
* configure.in: Several additions:
- test for g++ >= 3.0, kindly provided by Kurt
- test for QuantLib >= 0.3, along the same lines
- converted from autoconf 2.13 to 2.50
* cleanup: Remove temp dir created by autoconf
2003-02-05 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.3
* R/*.R: Added PACKAGE="RQuantLib" to .Call() as suggested by Kurt
* DESCRIPTION: Removed QuantLib from Depends as requested by Kurt,
and added explanation to Description
2002-11-13 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.2
* Minor correction to EuropeanOptionArrays manual page indexing
2002-11-11 Dirk Eddelbuettel <edd@debian.org>
* Release 0.1.1
* Added barrier option
* Several small corrections and completions to documentation
2002-02-25 Dirk Eddelbuettel <edd@debian.org>
* Initial 0.1.0 release
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