2008-08-09 Dirk Eddelbuettel * 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 * 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 * 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 * src/bermudan.cpp, src/curves.cpp: Updated for QL 0.8.1 2007-02-25 Dirk Eddelbuettel * DESCRIPTION: Relase 0.2.6 updated for Quantlib 0.4.0 * configure.in: Require Quantlib 0.4.0 2007-02-24 Dominick Samperi * src/bermudan.cpp: Several updates for Quantlib 0.4.0 2006-11-10 Dirk Eddelbuettel * man/*.Rd: Updates to default method docs suggested by Kurt Hornik 2006-11-06 Dirk Eddelbuettel * 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 * 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 * 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 * Release 0.2.2 once more with thanks to Dominick 2006-03-23 Dominick Samperi * 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 * Release 0.2.1 with thanks to Dominick 2006-01-10 Dominick Samperi * 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 * 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 * Preparing release 0.2.0 regrouping the numerous changes -- contributed mostly by Dominick -- since the 0.1.13 release 2005-10-13 Dominick Samperi * src/Rcpp.{hpp,cpp}: Improved error messages 2005-10-08 Dominick Samperi * 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 * 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 * 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 * 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 * 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 * 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 * 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 * DESCRIPTION: Added SystemRequirements for QuantLib 2004-05-26 Dirk Eddelbuettel * 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 * 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 * 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 * Release 0.1.6 * man/{EuropeanOption,ImpliedVolatility}: Two small corrections to argument call mismatches found by R CMD check 2003-05-31 Dirk Eddelbuettel * 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 * 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 * 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 * Release 0.1.2 * Minor correction to EuropeanOptionArrays manual page indexing 2002-11-11 Dirk Eddelbuettel * Release 0.1.1 * Added barrier option * Several small corrections and completions to documentation 2002-02-25 Dirk Eddelbuettel * Initial 0.1.0 release