From noreply at r-forge.r-project.org  Sun Feb 17 22:10:52 2013
From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org)
Date: Sun, 17 Feb 2013 22:10:52 +0100 (CET)
Subject: [Rquantlib-commits] r327 - in pkg/RQuantLib: . R demo man src
Message-ID: <20130217211053.018A1184648@r-forge.r-project.org>

Author: edd
Date: 2013-02-17 22:10:52 +0100 (Sun, 17 Feb 2013)
New Revision: 327

Modified:
   pkg/RQuantLib/ChangeLog
   pkg/RQuantLib/DESCRIPTION
   pkg/RQuantLib/R/arrays.R
   pkg/RQuantLib/cleanup
   pkg/RQuantLib/demo/OptionSurfaces.R
   pkg/RQuantLib/man/Bond.Rd
   pkg/RQuantLib/man/DiscountCurve.Rd
   pkg/RQuantLib/man/FixedRateBond.Rd
   pkg/RQuantLib/man/FloatingRateBond.Rd
   pkg/RQuantLib/man/ZeroCouponBond.Rd
   pkg/RQuantLib/src/discount.cpp
Log:
Release 0.3.10 with a flat discount curve in examples plus minor updates


Modified: pkg/RQuantLib/ChangeLog
===================================================================
--- pkg/RQuantLib/ChangeLog	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/ChangeLog	2013-02-17 21:10:52 UTC (rev 327)
@@ -1,3 +1,20 @@
+2013-02-17  Dirk Eddelbuettel  <edd at 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
+	function from the rgl package to suppress spurious codetools warning
+
+	* demo/OptionSurfaces.R: Reindented
+
+	* cleanup: Simplified and updated
+
 2012-12-02  Dirk Eddelbuettel  <edd at debian.org>
 
 	* src/discount.cpp (DiscountCurve): R-devel on Windows now longer
@@ -10,8 +27,7 @@
 
 	* src/vanilla.cpp (AmericanOption): Support engine choice, adding
 	"CrankNicolson" to the default "BaroneAdesiWhaley" as the former adds
-	delta, gamma and vega greeks -- thanks to Bryan Lewis for the
-	suggestion
+	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
 

Modified: pkg/RQuantLib/DESCRIPTION
===================================================================
--- pkg/RQuantLib/DESCRIPTION	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/DESCRIPTION	2013-02-17 21:10:52 UTC (rev 327)
@@ -1,6 +1,6 @@
 Package: RQuantLib
 Title: R interface to the QuantLib library
-Version: 0.3.9
+Version: 0.3.10
 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/R/arrays.R
===================================================================
--- pkg/RQuantLib/R/arrays.R	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/R/arrays.R	2013-02-17 21:10:52 UTC (rev 327)
@@ -116,6 +116,7 @@
 
 plotOptionSurface <- function(EOres, ylabel="", xlabel="", zlabel="", fov=60) {
     stopifnot(require(rgl))
+    utils::globalVariables(c("clear3d", "bg3d", "ligh3d", "rgl.viewpoint", "rgl.surface", "tgl.texts"))
     axis.col <- "black"
     text.col <- axis.col
     ylab <- ylabel
@@ -124,39 +125,39 @@
     y <- EOres
 
     ## clear scene:
-    clear3d()
-    clear3d(type="bbox")
-    clear3d(type="lights")
+    rgl::clear3d()
+    rgl::clear3d(type="bbox")
+    rgl::clear3d(type="lights")
 
     ## setup env:
-    bg3d(color="#DDDDDD")
-    light3d()
+    rgl::bg3d(color="#DDDDDD")
+    rgl::light3d()
 
-    rgl.viewpoint(fov=fov)
+    rgl::rgl.viewpoint(fov=fov)
 
     x <- 1:nrow(y)
     z <- 1:ncol(y)
     x <- (x-min(x))/(max(x)-min(x))
     y <- (y-min(y))/(max(y)-min(y))
     z <- (z-min(z))/(max(z)-min(z))
-    rgl.surface(x, z, y, alpha=0.6, lit=TRUE, color="blue")
-    rgl.lines(c(0,1), c(0,0), c(0,0), col=axis.col)
-    rgl.lines(c(0,0), c(0,1), c(0,0), col=axis.col)
-    rgl.lines(c(0,0),c(0,0), c(0,1), col=axis.col)
-    rgl.texts(1,0,0, xlab, adj=1, col=text.col)
-    rgl.texts(0,1,0, ylab, adj=1, col=text.col)
-    rgl.texts(0,0,1, zlab, adj=1, col=text.col)
+    rgl::rgl.surface(x, z, y, alpha=0.6, lit=TRUE, color="blue")
+    rgl::rgl.lines(c(0,1), c(0,0), c(0,0), col=axis.col)
+    rgl::rgl.lines(c(0,0), c(0,1), c(0,0), col=axis.col)
+    rgl::rgl.lines(c(0,0),c(0,0), c(0,1), col=axis.col)
+    rgl::rgl.texts(1,0,0, xlab, adj=1, col=text.col)
+    rgl::rgl.texts(0,1,0, ylab, adj=1, col=text.col)
+    rgl::rgl.texts(0,0,1, zlab, adj=1, col=text.col)
 
     ## add grid (credit's to John Fox scatter3d)
     xgridind <- round(seq(1, nrow(y), length=25))
     zgridind <- round(seq(1, ncol(y), length=25))
-    rgl.surface(x[xgridind], z[zgridind], y[xgridind,zgridind],
-                color="darkgray", alpha=0.5, lit=TRUE,
-                front="lines", back="lines")
+    rgl::rgl.surface(x[xgridind], z[zgridind], y[xgridind,zgridind],
+                     color="darkgray", alpha=0.5, lit=TRUE,
+                     front="lines", back="lines")
 
     ## animate (credit to rgl.viewpoint() example)
     start <- proc.time()[3]
     while ((i <- 36*(proc.time()[3]-start)) < 360) {
-        rgl.viewpoint(i,i/8);
+        rgl::rgl.viewpoint(i,i/8);
     }
 }

Modified: pkg/RQuantLib/cleanup
===================================================================
--- pkg/RQuantLib/cleanup	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/cleanup	2013-02-17 21:10:52 UTC (rev 327)
@@ -1,28 +1,9 @@
 #!/bin/sh
-for f in ./config.*; do
-    rm -f $f
-done
-if [ -e confdefs.h ]; then
-    rm -f confdefs.h
-fi
-if [ -e src/Makevars ]; then
-    rm -f src/Makevars
-fi
-if [ -e src/libRQuantLib.a ]; then
-    rm -f src/libRQuantLib.a
-fi    
-if [ -e src/libRQuantLib.def ]; then
-    rm -f src/libRQuantLib.def
-fi    
-if [ -e autom4te.cache ]; then
-    rm -rf autom4te.cache
-fi
-for f in src/*.o src/*.so; do
-    rm -f $f
-done
+
+rm -f config.log config.status confdefs.h autom4te.cache \
+    src/Makevars src/libRQuantLib.a src/libRQuantLib.def src/*.o src/*.so src/symbols.rds \
+    RcppSrc/*.a RcppSrc/*.o RcppSrc/config.* inst/Rcpp-version.txt 
+
 find . -name \*~ | xargs rm -f
-#rm -vf configure 
-rm -vf config.log config.status
-rm -f RcppSrc/*.a RcppSrc/*.o RcppSrc/config.*
-rm -f inst/Rcpp-version.txt
+
 exit 0

Modified: pkg/RQuantLib/demo/OptionSurfaces.R
===================================================================
--- pkg/RQuantLib/demo/OptionSurfaces.R	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/demo/OptionSurfaces.R	2013-02-17 21:10:52 UTC (rev 327)
@@ -3,68 +3,65 @@
 ## Dirk Eddelbuettel, September 2005
 ## $Id: OptionSurfaces.R,v 1.1 2005/10/12 03:42:45 edd Exp $
 
-OptionSurface <- function(EOres, label, fov=60) { 
-  axis.col <- "black"
-  text.col <- axis.col
-  ylab = label
-  xlab = "Underlying"
-  zlab = "Volatility"
-  y <- EOres
+OptionSurface <- function(EOres, label, fov=60) {
+    axis.col <- "black"
+    text.col <- axis.col
+    ylab = label
+    xlab = "Underlying"
+    zlab = "Volatility"
+    y <- EOres
 
-  # clear scene:
-  clear3d()
-  clear3d(type="bbox")
-  clear3d(type="lights")
-  
-  # setup env:
-#  bg3d(color="#887777")
-  bg3d(color="#DDDDDD")
-  light3d()
+    ## clear scene:
+    clear3d()
+    clear3d(type="bbox")
+    clear3d(type="lights")
 
-  rgl.viewpoint(fov=fov)
-  #rgl.bg(col="white", fogtype="exp2")
-  #rgl.bg(col="black", fogtype="exp2")
-  #rgl.bg(col="black", fogtype="exp")
-  #rgl.bg(col="white", fogtype="exp")
+    ## setup env:
+    ##  bg3d(color="#887777")
+    bg3d(color="#DDDDDD")
+    light3d()
 
-  x <- (1:nrow(y))
-  z <- (1:ncol(y))
-  x <- (x-min(x))/(max(x)-min(x))
-  y <- (y-min(y))/(max(y)-min(y))
-  z <- (z-min(z))/(max(z)-min(z))
-  rgl.surface(x, z, y, alpha=0.6, lit=TRUE, color="blue")
-  rgl.lines(c(0,1), c(0,0), c(0,0), col=axis.col)
-  rgl.lines(c(0,0), c(0,1), c(0,0), col=axis.col)
-  rgl.lines(c(0,0),c(0,0), c(0,1), col=axis.col)
-  rgl.texts(1,0,0, xlab, adj=1, col=text.col)
-  rgl.texts(0,1,0, ylab, adj=1, col=text.col)
-  rgl.texts(0,0,1, zlab, adj=1, col=text.col)
+    rgl.viewpoint(fov=fov)
+    ##rgl.bg(col="white", fogtype="exp2")
+    ##rgl.bg(col="black", fogtype="exp2")
+    ##rgl.bg(col="black", fogtype="exp")
+    ##rgl.bg(col="white", fogtype="exp")
 
-  ## add grid (credit's to John Fox scatter3d)
-  xgridind <- round(seq(1, nrow(y), length=25))
-  zgridind <- round(seq(1, ncol(y), length=25))
-  rgl.surface(x[xgridind], z[zgridind], y[xgridind,zgridind],
-              color="darkgray", alpha=0.5, lit=TRUE,
-              front="lines", back="lines")
+    x <- (1:nrow(y))
+    z <- (1:ncol(y))
+    x <- (x-min(x))/(max(x)-min(x))
+    y <- (y-min(y))/(max(y)-min(y))
+    z <- (z-min(z))/(max(z)-min(z))
+    rgl.surface(x, z, y, alpha=0.6, lit=TRUE, color="blue")
+    rgl.lines(c(0,1), c(0,0), c(0,0), col=axis.col)
+    rgl.lines(c(0,0), c(0,1), c(0,0), col=axis.col)
+    rgl.lines(c(0,0),c(0,0), c(0,1), col=axis.col)
+    rgl.texts(1,0,0, xlab, adj=1, col=text.col)
+    rgl.texts(0,1,0, ylab, adj=1, col=text.col)
+    rgl.texts(0,0,1, zlab, adj=1, col=text.col)
 
-  ## animate (credit to rgl.viewpoint() example)
-  start <- proc.time()[3]
-  while ((i <- 36*(proc.time()[3]-start)) < 360) {
-    rgl.viewpoint(i,i/8); 
-  }
+    ## add grid (credit's to John Fox scatter3d)
+    xgridind <- round(seq(1, nrow(y), length=25))
+    zgridind <- round(seq(1, ncol(y), length=25))
+    rgl.surface(x[xgridind], z[zgridind], y[xgridind,zgridind],
+                color="darkgray", alpha=0.5, lit=TRUE,
+                front="lines", back="lines")
+
+    ## animate (credit to rgl.viewpoint() example)
+    start <- proc.time()[3]
+    while ((i <- 36*(proc.time()[3]-start)) < 360) {
+        rgl.viewpoint(i,i/8);
+    }
 }
 
 RQuantLib.demo.OptionSurfaces <- function() {
-  
-  if (require(rgl,quiet=TRUE)) {
-    stopifnot(require(RQuantLib,quiet=TRUE))
 
     und.seq <- seq(10, 200, by = 2.5)
     vol.seq <- seq(0.05, 2, by = 0.025)
 
     cat("Calculating surface ...")
     EOarr <- EuropeanOptionArrays("call", underlying = und.seq, strike = 100,
-                                  dividendYield = 0.01, riskFreeRate = 0.03, 
+                                  dividendYield = 0.01, riskFreeRate = 0.03,
                                   maturity = 1, volatility = vol.seq)
     cat(" done.\n")
 
@@ -74,7 +71,10 @@
     OptionSurface(EOarr$gamma, "Gamma")
     OptionSurface(EOarr$vega, "Vega")
     OptionSurface(EOarr$theta, "Theta")
-  }
+
 }
 
+require(rgl,quiet=TRUE)
+require(RQuantLib,quiet=TRUE)
+
 RQuantLib.demo.OptionSurfaces()

Modified: pkg/RQuantLib/man/Bond.Rd
===================================================================
--- pkg/RQuantLib/man/Bond.Rd	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/man/Bond.Rd	2013-02-17 21:10:52 UTC (rev 327)
@@ -62,7 +62,7 @@
                  s5y = 0.0443,
                  s10y = 0.05165,
                  s15y = 0.055175)
-
+tsQuotes <- list("flat" = 0.02)		## While discount curve code is buggy
 times <- seq(0,10,.1)
 
 discountCurve <- DiscountCurve(params, tsQuotes, times)

Modified: pkg/RQuantLib/man/DiscountCurve.Rd
===================================================================
--- pkg/RQuantLib/man/DiscountCurve.Rd	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/man/DiscountCurve.Rd	2013-02-17 21:10:52 UTC (rev 327)
@@ -144,6 +144,7 @@
                  s10y = 0.05165,
                  s15y = 0.055175)
 
+tsQuotes <- list("flat" = 0.02)		## While discount curve code is buggy
 times <- seq(0,10,.1)
 
 # Loglinear interpolation of discount factors

Modified: pkg/RQuantLib/man/FixedRateBond.Rd
===================================================================
--- pkg/RQuantLib/man/FixedRateBond.Rd	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/man/FixedRateBond.Rd	2013-02-17 21:10:52 UTC (rev 327)
@@ -187,6 +187,7 @@
                  s5y  =0.0443,
                  s10y =0.05165,
                  s15y =0.055175)
+tsQuotes <- list("flat" = 0.02)		## While discount curve code is buggy
 
 discountCurve <- DiscountCurve(params, tsQuotes)
 FixedRateBond(bond, coupon.rate, discountCurve, dateparams)

Modified: pkg/RQuantLib/man/FloatingRateBond.Rd
===================================================================
--- pkg/RQuantLib/man/FloatingRateBond.Rd	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/man/FloatingRateBond.Rd	2013-02-17 21:10:52 UTC (rev 327)
@@ -152,8 +152,8 @@
                  s5y  =0.0443,
                  s10y =0.05165,
                  s15y =0.055175)
+tsQuotes <- list("flat" = 0.02)		## While discount curve code is buggy
 
-
 ## when both discount and libor curves are flat.
 
 discountCurve.flat <- DiscountCurve(params, list(flat=0.05))

Modified: pkg/RQuantLib/man/ZeroCouponBond.Rd
===================================================================
--- pkg/RQuantLib/man/ZeroCouponBond.Rd	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/man/ZeroCouponBond.Rd	2013-02-17 21:10:52 UTC (rev 327)
@@ -155,6 +155,8 @@
                  s5y  =0.0443,
                  s10y =0.05165,
                  s15y =0.055175)
+tsQuotes <- list("flat" = 0.02)		## While discount curve code is buggy
+
 discountCurve <- DiscountCurve(discountCurve.param, tsQuotes)
 ZeroCouponBond(bond, discountCurve, dateparams)
 

Modified: pkg/RQuantLib/src/discount.cpp
===================================================================
--- pkg/RQuantLib/src/discount.cpp	2012-12-02 17:10:25 UTC (rev 326)
+++ pkg/RQuantLib/src/discount.cpp	2013-02-17 21:10:52 UTC (rev 327)
@@ -5,6 +5,7 @@
 // Copyright (C) 2005 - 2007  Dominick Samperi
 // Copyright (C) 2007 - 2009  Dirk Eddelbuettel 
 // Copyright (C) 2009 - 2011  Dirk Eddelbuettel and Khanh Nguyen
+// Copyright (C) 2012 - 2013  Dirk Eddelbuettel
 //
 // $Id$
 //
@@ -99,7 +100,7 @@
         //SEXP fwds  = PROTECT(Rf_allocVector(REALSXP, ntimes));
         //SEXP zero  = PROTECT(Rf_allocVector(REALSXP, ntimes));
         Rcpp::NumericVector disc(ntimes), fwds(ntimes), zero(ntimes);
-        
+
         QuantLib::Date current = settlementDate;
         for (i = 0; i < ntimes; i++) {          
             //t = REAL(times)[i];