[Rquantlib-commits] r299 - in pkg/RQuantLib: . inst
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Nov 1 12:25:04 CET 2010
Author: edd
Date: 2010-11-01 12:25:03 +0100 (Mon, 01 Nov 2010)
New Revision: 299
Added:
pkg/RQuantLib/ChangeLog
Removed:
pkg/RQuantLib/inst/ChangeLog
Log:
move inst/ChangeLog to ChangeLog
Copied: pkg/RQuantLib/ChangeLog (from rev 298, pkg/RQuantLib/inst/ChangeLog)
===================================================================
--- pkg/RQuantLib/ChangeLog (rev 0)
+++ pkg/RQuantLib/ChangeLog 2010-11-01 11:25:03 UTC (rev 299)
@@ -0,0 +1,656 @@
+2010-08-09 Dirk Eddelbuettel <edd at 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 at 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 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
+
+2010-08-02 Dirk Eddelbuettel <edd at 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 at cs.umb.edu>
+
+ * src/asian.cpp: Added arithmetic average case
+ * R/asian.R: Idem
+ * man/asian.Rd: Idem
+
+2010-06-30 Dirk Eddelbuettel <edd at debian.org>
+
+ * inst/unitTests/runit.calendar.R: Beginnings of calendar unit tests
+
+2010-06-23 Dirk Eddelbuettel <edd at debian.org>
+
+ * src/*: Converted remainder of code to new Rcpp API
+
+2010-06-20 Dirk Eddelbuettel <edd at 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 at 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 at debian.org>
+
+ * src/bonds.cpp: Converted to new API
+
+2010-06-17 Dirk Eddelbuettel <edd at 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 at 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 at debian.org>
+
+ * src/vanilla.cpp: Converted to new API
+
+2010-06-14 Dirk Eddelbuettel <edd at 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 at 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 at 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 at 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 at debian.org>
+
+ * src/*.cpp: Suppress a few g++ warnings
+
+ * src/calendar.cpp: Added South Korea and Brazil
+
+2010-04-21 Dirk Eddelbuettel <edd at debian.org>
+
+ * inst/unitTests/runitOptions.R: Updated binary option test
+
+2010-04-05 Khanh Nguyen <knguyen at cs.umb.edu>
+
+ * R/hullWhiteCalibration.R: added Hull-White calibration
+ * src/hullwhite.cpp: added Hull-White calibration
+
+2010-02-12 Khanh Nguyen <knguyen at cs.umb.edu>
+
+ * R/*,src/*: Remove some deprecated fixed income code
+ * tests/*: Remove corresponding tests
+
+2010-01-23 Dirk Eddelbuettel <edd at debian.org>
+
+ * NAMESPACE: Some small cleanups
+
+2010-01-22 Khanh Nguyen <knguyen at 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 at 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 at 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 at 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 at 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 at 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 at 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 at debian.org>
+
+ * man/DiscountCurve.Rd: Change as per QL 0.9.7's Swap/swapvaluation.cpp
+
+2009-09-06 Dirk Eddelbuettel <edd at 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 at 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 at 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 at 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 at 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 at 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 at 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 at 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 at DecisionSynergy.com>
+
+ * src/bermudan.cpp, src/curves.cpp: Updated for QL 0.8.1
+
+2007-02-25 Dirk Eddelbuettel <edd at 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 at DecisionSynergy.com>
+
+ * src/bermudan.cpp: Several updates for Quantlib 0.4.0
+
+2006-11-10 Dirk Eddelbuettel <edd at debian.org>
+
+ * man/*.Rd: Updates to default method docs suggested by Kurt Hornik
+
+2006-11-06 Dirk Eddelbuettel <edd at 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 at 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 at 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 at debian.org>
+
+ * Release 0.2.2 once more with thanks to Dominick
+
+2006-03-23 Dominick Samperi <djsamperi at 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 at debian.org>
+
+ * Release 0.2.1 with thanks to Dominick
+
+2006-01-10 Dominick Samperi <dsamperi at 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 at 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 at 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 at DecisionSynergy.com>
+
+ * src/Rcpp.{hpp,cpp}: Improved error messages
+
+2005-10-08 Dominick Samperi <dsamperi at 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 at 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 at 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 at 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 at 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 at 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 at 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 at debian.org>
+
+ * DESCRIPTION: Added SystemRequirements for QuantLib
+
+2004-05-26 Dirk Eddelbuettel <edd at 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 at 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 at 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 at 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 at 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 at 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 at 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 at debian.org>
+
+ * Release 0.1.2
+
+ * Minor correction to EuropeanOptionArrays manual page indexing
+
+2002-11-11 Dirk Eddelbuettel <edd at debian.org>
+
+ * Release 0.1.1
+
+ * Added barrier option
+
+ * Several small corrections and completions to documentation
+
+2002-02-25 Dirk Eddelbuettel <edd at debian.org>
+
+ * Initial 0.1.0 release
Deleted: pkg/RQuantLib/inst/ChangeLog
===================================================================
--- pkg/RQuantLib/inst/ChangeLog 2010-08-09 18:56:09 UTC (rev 298)
+++ pkg/RQuantLib/inst/ChangeLog 2010-11-01 11:25:03 UTC (rev 299)
@@ -1,656 +0,0 @@
-2010-08-09 Dirk Eddelbuettel <edd at 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 at 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 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
-
-2010-08-02 Dirk Eddelbuettel <edd at 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 at cs.umb.edu>
-
- * src/asian.cpp: Added arithmetic average case
- * R/asian.R: Idem
- * man/asian.Rd: Idem
-
-2010-06-30 Dirk Eddelbuettel <edd at debian.org>
-
- * inst/unitTests/runit.calendar.R: Beginnings of calendar unit tests
-
-2010-06-23 Dirk Eddelbuettel <edd at debian.org>
-
- * src/*: Converted remainder of code to new Rcpp API
-
-2010-06-20 Dirk Eddelbuettel <edd at 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 at 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 at debian.org>
-
- * src/bonds.cpp: Converted to new API
-
-2010-06-17 Dirk Eddelbuettel <edd at 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 at 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 at debian.org>
-
- * src/vanilla.cpp: Converted to new API
-
-2010-06-14 Dirk Eddelbuettel <edd at 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 at 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 at 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 at 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 at debian.org>
-
- * src/*.cpp: Suppress a few g++ warnings
-
- * src/calendar.cpp: Added South Korea and Brazil
-
-2010-04-21 Dirk Eddelbuettel <edd at debian.org>
-
- * inst/unitTests/runitOptions.R: Updated binary option test
-
-2010-04-05 Khanh Nguyen <knguyen at cs.umb.edu>
-
- * R/hullWhiteCalibration.R: added Hull-White calibration
- * src/hullwhite.cpp: added Hull-White calibration
-
-2010-02-12 Khanh Nguyen <knguyen at cs.umb.edu>
-
- * R/*,src/*: Remove some deprecated fixed income code
- * tests/*: Remove corresponding tests
-
-2010-01-23 Dirk Eddelbuettel <edd at debian.org>
-
- * NAMESPACE: Some small cleanups
-
-2010-01-22 Khanh Nguyen <knguyen at 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 at 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 at 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 at 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 at 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 at 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 at 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 at debian.org>
-
- * man/DiscountCurve.Rd: Change as per QL 0.9.7's Swap/swapvaluation.cpp
-
-2009-09-06 Dirk Eddelbuettel <edd at 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 at 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 at 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 at 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 at 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
-
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/rquantlib -r 299
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