[Rquantlib-commits] r292 - in pkg/RQuantLib: . inst src
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Aug 6 13:17:26 CEST 2010
Author: edd
Date: 2010-08-06 13:17:25 +0200 (Fri, 06 Aug 2010)
New Revision: 292
Added:
pkg/RQuantLib/src/rquantlib.h
Removed:
pkg/RQuantLib/src/rquantlib.hpp
Modified:
pkg/RQuantLib/INDEX
pkg/RQuantLib/inst/ChangeLog
pkg/RQuantLib/src/asian.cpp
pkg/RQuantLib/src/barrier_binary.cpp
pkg/RQuantLib/src/bermudan.cpp
pkg/RQuantLib/src/bonds.cpp
pkg/RQuantLib/src/calendars.cpp
pkg/RQuantLib/src/curves.cpp
pkg/RQuantLib/src/daycounter.cpp
pkg/RQuantLib/src/discount.cpp
pkg/RQuantLib/src/hullwhite.cpp
pkg/RQuantLib/src/implieds.cpp
pkg/RQuantLib/src/utils.cpp
pkg/RQuantLib/src/vanilla.cpp
pkg/RQuantLib/src/zero.cpp
Log:
renamed rquantlib.hpp to rquantlib.h per Kurt's request to silence a warning in the pre-releases of R 2.12.0
updated INDEX
Modified: pkg/RQuantLib/INDEX
===================================================================
--- pkg/RQuantLib/INDEX 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/INDEX 2010-08-06 11:17:25 UTC (rev 292)
@@ -17,7 +17,6 @@
Implied Volatility calculation for Binary
Option
Bond Base class for Bond price evalution
-businessDay Calendar functions from QuantLib
businessDaysBetween Calendar functions from QuantLib
CallableBond CallableBond evaluation
ConvertibleFixedCouponBond
@@ -29,7 +28,6 @@
dayCount DayCounter functions from QuantLib
DiscountCurve Returns the discount curve (with zero rates and
forwards) given times
-endOfMonth Calendar functions from QuantLib
Enum Documentation for parameters
EuropeanOption European Option evaluation using Closed-Form
solution
@@ -39,24 +37,18 @@
Implied Volatility calculation for European
Option
FittedBondCurve Returns the discount curve (with zero rates and
- forwards) given times
-FixedRateBond Fixed rate bond evaluation using discount curve
- solution
+ forwards) given set of bonds
+FixedRateBond Fixed-Rate bond pricing
FixedRateBondPriceByYield
Zero Coupon Bond Yield evaluation
FixedRateBondYield Fixed Rate Bond Yield Yield evaluation
-FloatingRateBond Fixed rate bond evaluation using discount curve
- solution
-holidayList Calendar functions from QuantLib
+FloatingRateBond Floating rate bond pricing
ImpliedVolatility Base class for option-price implied volatility
evalution
-isEndOfMonth Calendar functions from QuantLib
-isHoliday Calendar functions from QuantLib
-isWeekend Calendar functions from QuantLib
+isBusinessDay Calendar functions from QuantLib
matchBDC Bond parameter conversion utilities
Option Base class for option price evalution
yearFraction DayCounter functions from QuantLib
-ZeroCouponBond Zero-oupon bond evaluation using discount curve
- solution
+ZeroCouponBond Zerocoupon bond pricing
ZeroPriceByYield Zero Coupon Bond Theoretical Price evaluation
ZeroYield Zero Coupon Bond Yield evaluation
Modified: pkg/RQuantLib/inst/ChangeLog
===================================================================
--- pkg/RQuantLib/inst/ChangeLog 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/inst/ChangeLog 2010-08-06 11:17:25 UTC (rev 292)
@@ -1,3 +1,9 @@
+2010-08-06 Dirk Eddelbuettel <edd at 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 at debian.org>
* DESCRIPTION: Release 0.3.3
Modified: pkg/RQuantLib/src/asian.cpp
===================================================================
--- pkg/RQuantLib/src/asian.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/asian.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -23,7 +23,7 @@
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA
-#include <rquantlib.hpp>
+#include <rquantlib.h>
RcppExport SEXP QL_AsianOption(SEXP optionParameters){
Modified: pkg/RQuantLib/src/barrier_binary.cpp
===================================================================
--- pkg/RQuantLib/src/barrier_binary.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/barrier_binary.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -22,7 +22,7 @@
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA
-#include "rquantlib.hpp"
+#include "rquantlib.h"
RcppExport SEXP QL_BinaryOption(SEXP optionParameters) {
Modified: pkg/RQuantLib/src/bermudan.cpp
===================================================================
--- pkg/RQuantLib/src/bermudan.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/bermudan.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -17,7 +17,7 @@
// PURPOSE. See the GNU General Public License for more
// details.
-#include "rquantlib.hpp"
+#include "rquantlib.h"
// Calibrates underlying swaptions to the input volatility matrix.
void calibrateModel(const boost::shared_ptr<ShortRateModel>& model,
Modified: pkg/RQuantLib/src/bonds.cpp
===================================================================
--- pkg/RQuantLib/src/bonds.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/bonds.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -23,7 +23,7 @@
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA
-#include <rquantlib.hpp>
+#include <rquantlib.h>
using namespace boost;
Modified: pkg/RQuantLib/src/calendars.cpp
===================================================================
--- pkg/RQuantLib/src/calendars.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/calendars.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -23,7 +23,7 @@
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA
-#include <rquantlib.hpp>
+#include <rquantlib.h>
// returns a reference-counted pointer to a matching Calendar object
boost::shared_ptr<Calendar> getCalendar(const std::string &calstr) {
Modified: pkg/RQuantLib/src/curves.cpp
===================================================================
--- pkg/RQuantLib/src/curves.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/curves.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -21,7 +21,7 @@
//#include <stdexcept>
//#endif
-#include <rquantlib.hpp>
+#include <rquantlib.h>
// Database of interest rate instrument contract details.
ObservableDB::ObservableDB() {
Modified: pkg/RQuantLib/src/daycounter.cpp
===================================================================
--- pkg/RQuantLib/src/daycounter.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/daycounter.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -22,7 +22,7 @@
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA
-#include "rquantlib.hpp"
+#include "rquantlib.h"
using namespace boost;
Modified: pkg/RQuantLib/src/discount.cpp
===================================================================
--- pkg/RQuantLib/src/discount.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/discount.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -18,7 +18,7 @@
// PURPOSE. See the GNU General Public License for more
// details.
-#include "rquantlib.hpp"
+#include "rquantlib.h"
RcppExport SEXP QL_DiscountCurve(SEXP params, SEXP tsQuotes, SEXP times) {
Modified: pkg/RQuantLib/src/hullwhite.cpp
===================================================================
--- pkg/RQuantLib/src/hullwhite.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/hullwhite.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -22,7 +22,7 @@
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA
-#include <rquantlib.hpp>
+#include <rquantlib.h>
using namespace boost;
Modified: pkg/RQuantLib/src/implieds.cpp
===================================================================
--- pkg/RQuantLib/src/implieds.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/implieds.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -24,7 +24,7 @@
// NB can be build standalone as PKG_LIBS=-lQuantLib R CMD SHLIB implieds.cc
-#include "rquantlib.hpp"
+#include "rquantlib.h"
RcppExport SEXP QL_EuropeanOptionImpliedVolatility(SEXP optionParameters) {
const Size maxEvaluations = 100;
Copied: pkg/RQuantLib/src/rquantlib.h (from rev 290, pkg/RQuantLib/src/rquantlib.hpp)
===================================================================
--- pkg/RQuantLib/src/rquantlib.h (rev 0)
+++ pkg/RQuantLib/src/rquantlib.h 2010-08-06 11:17:25 UTC (rev 292)
@@ -0,0 +1,172 @@
+// -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+//
+// RQuantLib function prototypes and macros
+//
+// Copyright 2002 - 2009 Dirk Eddelbuettel <edd at debian.org>
+// Copyright 2005 - 2006 Dominick Samperi
+//
+// $Id$
+//
+// This program is free software; you can redistribute it and/or modify
+// it under the terms of the GNU General Public License as published by
+// the Free Software Foundation; either version 2 of the License, or
+// (at your option) any later version.
+//
+// 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
+
+#ifndef rquantlib_h
+#define rquantlib_h
+
+#include <ql/quantlib.hpp>
+#include <boost/algorithm/string.hpp>
+#include <boost/lexical_cast.hpp>
+
+using namespace QuantLib;
+
+#include <Rcpp.h>
+
+//#define NULL_RateHelper (boost::shared_ptr<RateHelper>)Null<boost::shared_ptr<RateHelper> >()
+
+// Prototypes for convenience functions (some macros)
+//void insertListElement(SEXP &list, SEXP &names,
+// const int pos, const double value,
+// const char *label);
+//SEXP getListElement(SEXP list, char *str);
+
+// Used to maintain context while in an R function.
+class RQLContext : public Singleton<RQLContext> {
+public:
+ RQLContext() {
+ fixingDays = 2;
+ calendar = TARGET();
+ settleDate = Date::todaysDate()+2;
+ }
+ // The tradeDate (evaluation date) is maintained by Settings,
+ // (which is a singleton structure provided by QuantLib)
+ // and used to translate between dates and real-valued times.
+ Date settleDate;
+ Calendar calendar;
+ Integer fixingDays;
+};
+
+// Instrument types used to construct the yield curve.
+enum RQLObservableType { RQLDeposit, RQLSwap, RQLFuture, RQLFRA };
+
+// Used to identify the specifics of a particular contract.
+class RQLObservable {
+public:
+ RQLObservable(RQLObservableType type,
+ int n1, int n2,
+ TimeUnit units)
+ : type_(type), n1_(n1), n2_(n2), units_(units) {}
+ RQLObservableType getType() { return type_; }
+ int getN1() { return n1_; }
+ int getN2() { return n2_; }
+ TimeUnit getUnits() { return units_; }
+private:
+ RQLObservableType type_;
+ int n1_, n2_; // n2 used for FRA's
+ TimeUnit units_; // not used for futures and FRA's
+};
+
+typedef std::map<std::string, RQLObservable*> RQLMap;
+typedef std::map<std::string, RQLObservable*>::const_iterator RQLMapIterator;
+
+// Database used to maintain curve construction instrument details.
+class ObservableDB : public Singleton<ObservableDB> {
+public:
+ ObservableDB();
+ boost::shared_ptr<RateHelper> getRateHelper(std::string& ticker, Rate r);
+private:
+ RQLMap db_;
+};
+
+boost::shared_ptr<YieldTermStructure>
+getTermStructure(std::string& interpWhat, std::string& interpHow,
+ const Date& settleDate,
+ const std::vector<boost::shared_ptr<RateHelper> >& curveInput,
+ DayCounter& dayCounter, Real tolerance);
+
+boost::shared_ptr<YieldTermStructure>
+makeFlatCurve(const Date& today,
+ const boost::shared_ptr<Quote>& forward,
+ const DayCounter& dc);
+
+boost::shared_ptr<YieldTermStructure>
+flatRate(const Date& today,
+ const boost::shared_ptr<Quote>& forward,
+ const DayCounter& dc);
+
+boost::shared_ptr<BlackVolTermStructure>
+makeFlatVolatility(const Date& today,
+ const boost::shared_ptr<Quote>& vol,
+ DayCounter dc);
+
+boost::shared_ptr<BlackVolTermStructure>
+flatVol(const Date& today,
+ const boost::shared_ptr<Quote>& vol,
+ const DayCounter& dc);
+
+enum EngineType {Analytic,
+ JR, CRR, EQP, TGEO, TIAN, LR, JOSHI,
+ FiniteDifferences, Integral,
+ PseudoMonteCarlo, QuasiMonteCarlo };
+
+boost::shared_ptr<VanillaOption>
+makeOption(const boost::shared_ptr<StrikedTypePayoff>& payoff,
+ const boost::shared_ptr<Exercise>& exercise,
+ const boost::shared_ptr<Quote>& u,
+ const boost::shared_ptr<YieldTermStructure>& q,
+ const boost::shared_ptr<YieldTermStructure>& r,
+ const boost::shared_ptr<BlackVolTermStructure>& vol,
+ EngineType engineType = Analytic,
+ Size binomialSteps=128,
+ Size samples=100);
+
+boost::shared_ptr<GeneralizedBlackScholesProcess>
+makeProcess(const boost::shared_ptr<Quote>& u,
+ const boost::shared_ptr<YieldTermStructure>& q,
+ const boost::shared_ptr<YieldTermStructure>& r,
+ const boost::shared_ptr<BlackVolTermStructure>& vol);
+
+// int dateFromR(const RcppDate &d); // using 'classic' API's RcppDate
+int dateFromR(const Rcpp::Date &d); // using 'new' API's Rcpp::Date
+
+//utility functions for parameters of fixed-income instrument function
+Frequency getFrequency(const double n);
+TimeUnit getTimeUnit(const double n);
+Compounding getCompounding(const double n);
+BusinessDayConvention getBusinessDayConvention(const double n);
+DayCounter getDayCounter(const double n);
+DateGeneration::Rule getDateGenerationRule(const double n);
+boost::shared_ptr<YieldTermStructure> buildTermStructure(SEXP params,
+ SEXP tsQuotes,
+ SEXP times);
+Schedule getSchedule(SEXP sch);
+boost::shared_ptr<IborIndex> getIborIndex(SEXP index, const Date today);
+std::vector<double> getDoubleVector(SEXP vector);
+boost::shared_ptr<YieldTermStructure> getFlatCurve(SEXP flatcurve);
+boost::shared_ptr<YieldTermStructure> rebuildCurveFromZeroRates(SEXP dateSexp, SEXP zeroSexp);
+boost::shared_ptr<IborIndex> buildIborIndex(std::string type,
+ const Handle<YieldTermStructure>& iborStrc);
+Calendar* getCalendar(SEXP calParameters);
+Period periodByTimeUnit(int length, std::string unit);
+
+// simple option type creator based on string
+Option::Type getOptionType(const std::string &t);
+
+// create a data.frame with dates and amounts
+Rcpp::DataFrame getCashFlowDataFrame(const Leg &bondCashFlow);
+
+// fill QL data structures based on data.frames
+DividendSchedule getDividendSchedule(SEXP dividendScheduleFrame);
+CallabilitySchedule getCallabilitySchedule(SEXP callabilityScheduleFrame);
+
+#endif
Deleted: pkg/RQuantLib/src/rquantlib.hpp
===================================================================
--- pkg/RQuantLib/src/rquantlib.hpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/rquantlib.hpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -1,172 +0,0 @@
-// -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
-//
-// RQuantLib function prototypes and macros
-//
-// Copyright 2002 - 2009 Dirk Eddelbuettel <edd at debian.org>
-// Copyright 2005 - 2006 Dominick Samperi
-//
-// $Id$
-//
-// This program is free software; you can redistribute it and/or modify
-// it under the terms of the GNU General Public License as published by
-// the Free Software Foundation; either version 2 of the License, or
-// (at your option) any later version.
-//
-// 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
-
-#ifndef rquantlib_hpp
-#define rquantlib_hpp
-
-#include <ql/quantlib.hpp>
-#include <boost/algorithm/string.hpp>
-#include <boost/lexical_cast.hpp>
-
-using namespace QuantLib;
-
-#include <Rcpp.h>
-
-//#define NULL_RateHelper (boost::shared_ptr<RateHelper>)Null<boost::shared_ptr<RateHelper> >()
-
-// Prototypes for convenience functions (some macros)
-//void insertListElement(SEXP &list, SEXP &names,
-// const int pos, const double value,
-// const char *label);
-//SEXP getListElement(SEXP list, char *str);
-
-// Used to maintain context while in an R function.
-class RQLContext : public Singleton<RQLContext> {
-public:
- RQLContext() {
- fixingDays = 2;
- calendar = TARGET();
- settleDate = Date::todaysDate()+2;
- }
- // The tradeDate (evaluation date) is maintained by Settings,
- // (which is a singleton structure provided by QuantLib)
- // and used to translate between dates and real-valued times.
- Date settleDate;
- Calendar calendar;
- Integer fixingDays;
-};
-
-// Instrument types used to construct the yield curve.
-enum RQLObservableType { RQLDeposit, RQLSwap, RQLFuture, RQLFRA };
-
-// Used to identify the specifics of a particular contract.
-class RQLObservable {
-public:
- RQLObservable(RQLObservableType type,
- int n1, int n2,
- TimeUnit units)
- : type_(type), n1_(n1), n2_(n2), units_(units) {}
- RQLObservableType getType() { return type_; }
- int getN1() { return n1_; }
- int getN2() { return n2_; }
- TimeUnit getUnits() { return units_; }
-private:
- RQLObservableType type_;
- int n1_, n2_; // n2 used for FRA's
- TimeUnit units_; // not used for futures and FRA's
-};
-
-typedef std::map<std::string, RQLObservable*> RQLMap;
-typedef std::map<std::string, RQLObservable*>::const_iterator RQLMapIterator;
-
-// Database used to maintain curve construction instrument details.
-class ObservableDB : public Singleton<ObservableDB> {
-public:
- ObservableDB();
- boost::shared_ptr<RateHelper> getRateHelper(std::string& ticker, Rate r);
-private:
- RQLMap db_;
-};
-
-boost::shared_ptr<YieldTermStructure>
-getTermStructure(std::string& interpWhat, std::string& interpHow,
- const Date& settleDate,
- const std::vector<boost::shared_ptr<RateHelper> >& curveInput,
- DayCounter& dayCounter, Real tolerance);
-
-boost::shared_ptr<YieldTermStructure>
-makeFlatCurve(const Date& today,
- const boost::shared_ptr<Quote>& forward,
- const DayCounter& dc);
-
-boost::shared_ptr<YieldTermStructure>
-flatRate(const Date& today,
- const boost::shared_ptr<Quote>& forward,
- const DayCounter& dc);
-
-boost::shared_ptr<BlackVolTermStructure>
-makeFlatVolatility(const Date& today,
- const boost::shared_ptr<Quote>& vol,
- DayCounter dc);
-
-boost::shared_ptr<BlackVolTermStructure>
-flatVol(const Date& today,
- const boost::shared_ptr<Quote>& vol,
- const DayCounter& dc);
-
-enum EngineType {Analytic,
- JR, CRR, EQP, TGEO, TIAN, LR, JOSHI,
- FiniteDifferences, Integral,
- PseudoMonteCarlo, QuasiMonteCarlo };
-
-boost::shared_ptr<VanillaOption>
-makeOption(const boost::shared_ptr<StrikedTypePayoff>& payoff,
- const boost::shared_ptr<Exercise>& exercise,
- const boost::shared_ptr<Quote>& u,
- const boost::shared_ptr<YieldTermStructure>& q,
- const boost::shared_ptr<YieldTermStructure>& r,
- const boost::shared_ptr<BlackVolTermStructure>& vol,
- EngineType engineType = Analytic,
- Size binomialSteps=128,
- Size samples=100);
-
-boost::shared_ptr<GeneralizedBlackScholesProcess>
-makeProcess(const boost::shared_ptr<Quote>& u,
- const boost::shared_ptr<YieldTermStructure>& q,
- const boost::shared_ptr<YieldTermStructure>& r,
- const boost::shared_ptr<BlackVolTermStructure>& vol);
-
-// int dateFromR(const RcppDate &d); // using 'classic' API's RcppDate
-int dateFromR(const Rcpp::Date &d); // using 'new' API's Rcpp::Date
-
-//utility functions for parameters of fixed-income instrument function
-Frequency getFrequency(const double n);
-TimeUnit getTimeUnit(const double n);
-Compounding getCompounding(const double n);
-BusinessDayConvention getBusinessDayConvention(const double n);
-DayCounter getDayCounter(const double n);
-DateGeneration::Rule getDateGenerationRule(const double n);
-boost::shared_ptr<YieldTermStructure> buildTermStructure(SEXP params,
- SEXP tsQuotes,
- SEXP times);
-Schedule getSchedule(SEXP sch);
-boost::shared_ptr<IborIndex> getIborIndex(SEXP index, const Date today);
-std::vector<double> getDoubleVector(SEXP vector);
-boost::shared_ptr<YieldTermStructure> getFlatCurve(SEXP flatcurve);
-boost::shared_ptr<YieldTermStructure> rebuildCurveFromZeroRates(SEXP dateSexp, SEXP zeroSexp);
-boost::shared_ptr<IborIndex> buildIborIndex(std::string type,
- const Handle<YieldTermStructure>& iborStrc);
-Calendar* getCalendar(SEXP calParameters);
-Period periodByTimeUnit(int length, std::string unit);
-
-// simple option type creator based on string
-Option::Type getOptionType(const std::string &t);
-
-// create a data.frame with dates and amounts
-Rcpp::DataFrame getCashFlowDataFrame(const Leg &bondCashFlow);
-
-// fill QL data structures based on data.frames
-DividendSchedule getDividendSchedule(SEXP dividendScheduleFrame);
-CallabilitySchedule getCallabilitySchedule(SEXP callabilityScheduleFrame);
-
-#endif
Modified: pkg/RQuantLib/src/utils.cpp
===================================================================
--- pkg/RQuantLib/src/utils.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/utils.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -24,7 +24,7 @@
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA
-#include <rquantlib.hpp>
+#include <rquantlib.h>
Option::Type getOptionType(const std::string &type) {
Option::Type optionType;
Modified: pkg/RQuantLib/src/vanilla.cpp
===================================================================
--- pkg/RQuantLib/src/vanilla.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/vanilla.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -22,7 +22,7 @@
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA
-#include <rquantlib.hpp>
+#include <rquantlib.h>
RcppExport SEXP QL_EuropeanOption(SEXP optionParameters) {
Modified: pkg/RQuantLib/src/zero.cpp
===================================================================
--- pkg/RQuantLib/src/zero.cpp 2010-08-04 03:14:03 UTC (rev 291)
+++ pkg/RQuantLib/src/zero.cpp 2010-08-06 11:17:25 UTC (rev 292)
@@ -22,7 +22,7 @@
// Software Foundation, Inc., 59 Temple Place - Suite 330, Boston,
// MA 02111-1307, USA
-#include <rquantlib.hpp>
+#include <rquantlib.h>
RcppExport SEXP zeroprice(SEXP params) {
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