[Rquantlib-commits] r319 - in pkg/RQuantLib: . R src

[noreply at r-forge.r-project.org]

Author: edd
Date: 2011-09-10 15:22:26 +0200 (Sat, 10 Sep 2011)
New Revision: 319

Modified:
   pkg/RQuantLib/DESCRIPTION
   pkg/RQuantLib/NAMESPACE
   pkg/RQuantLib/R/dayCounter.R
   pkg/RQuantLib/src/daycounter.cpp
Log:
add a quick function setEvaluationDate() to set the QuantLib-global date


Modified: pkg/RQuantLib/DESCRIPTION
===================================================================
--- pkg/RQuantLib/DESCRIPTION	2011-09-09 15:03:39 UTC (rev 318)
+++ pkg/RQuantLib/DESCRIPTION	2011-09-10 13:22:26 UTC (rev 319)
@@ -1,6 +1,6 @@
 Package: RQuantLib
 Title: R interface to the QuantLib library
-Version: 0.3.7
+Version: 0.3.7.1
 Date: $Date$
 Maintainer: Dirk Eddelbuettel <edd at debian.org>
 Author: Dirk Eddelbuettel <edd at debian.org> and Khanh Nguyen <knguyen at cs.umb.edu>

Modified: pkg/RQuantLib/NAMESPACE
===================================================================
--- pkg/RQuantLib/NAMESPACE	2011-09-09 15:03:39 UTC (rev 318)
+++ pkg/RQuantLib/NAMESPACE	2011-09-10 13:22:26 UTC (rev 319)
@@ -43,6 +43,7 @@
        ##--dayCounter.R
        "dayCount",
        "yearFraction",
+       "setEvaluationDate",
        ##--discount.R
        "DiscountCurve",
        "plot.DiscountCurve",

Modified: pkg/RQuantLib/R/dayCounter.R
===================================================================
--- pkg/RQuantLib/R/dayCounter.R	2011-09-09 15:03:39 UTC (rev 318)
+++ pkg/RQuantLib/R/dayCounter.R	2011-09-10 13:22:26 UTC (rev 319)
@@ -1,3 +1,25 @@
+## RQuantLib -- R interface to the QuantLib libraries
+##
+## Copyright (C) 2010        Dirk Eddelbuettel and Khanh Nguyen
+##
+## $Id: calendars.R 293 2010-08-07 15:56:13Z edd $
+##
+## This file is part of the RQuantLib library for GNU R.
+## It is made available under the terms of the GNU General Public
+## License, version 2, or at your option, any later version,
+## incorporated herein by reference.
+##
+## This program is distributed in the hope that it will be
+## useful, but WITHOUT ANY WARRANTY; without even the implied
+## warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR
+## PURPOSE.  See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public
+## License along with this program; if not, write to the Free
+## Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
+## MA 02111-1307, USA
+
 dayCount <- function(startDates, endDates, dayCounters){
 
   val <- .Call('dayCount', startDates, endDates, dayCounters,
@@ -10,3 +32,8 @@
                PACKAGE="RQuantLib")
   val
 }
+
+setEvaluationDate <- function(evalDate) {
+    val <- .Call("setEvaluationDate", evalDate, PACKAGE="RQuantLib")
+    val
+}

Modified: pkg/RQuantLib/src/daycounter.cpp
===================================================================
--- pkg/RQuantLib/src/daycounter.cpp	2011-09-09 15:03:39 UTC (rev 318)
+++ pkg/RQuantLib/src/daycounter.cpp	2011-09-10 13:22:26 UTC (rev 319)
@@ -79,3 +79,19 @@
 
     return R_NilValue;
 }
+
+// this could go into another file too... maybe regroup all calendar / date functions?
+RcppExport SEXP setEvaluationDate(SEXP evalDateSEXP) {
+
+    try {
+
+        // set the date
+        QuantLib::Settings::instance().evaluationDate() = QuantLib::Date(dateFromR(Rcpp::as<Rcpp::Date>(evalDateSEXP)));
+
+    } catch(std::exception &ex) { 
+        forward_exception_to_r(ex); 
+    } catch(...) { 
+        ::Rf_error("c++ exception (unknown reason)"); 
+    }
+    return R_NilValue;
+}