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2026-10-13 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Release 0.4.29
* configure.ac: Idem
* configure: Idem
* README.md: Swap GPL-2 URL from fsf.org to opensource.org as not
rate-limited, switch one URL to https
* man/AffineSwaption.Rd: Use https for URL
* man/BermudanSwaption.Rd: Idem
* man/DiscountCurve.Rd: Idem
* man/SabrSwaption.Rd: Idem
* man/ZeroCouponBond.Rd: Idem
2026-10-08 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp: Do not use Italy::Exchange with QL 1.44 or later
* src/sabr.cpp: Adjust MakeVanillaSwap() for QL 1.44 changes
2026-07-26 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
2026-07-25 Dirk Eddelbuettel <edd@debian.org>
* R/bond.R (matchMethod): New validation function
(matchParams): Use new validation function
(FittedBondCurve.default): Validate curve parameters
2026-07-24 Maximilian Muecke <muecke.maximilian@gmail.com>
* R/arrays.R (plotOptionSurface): Remove obsolete global variable
declarations
2026-07-23 Maximilian Muecke <muecke.maximilian@gmail.com>
* man/AffineSwaption.Rd: Correct several typos
* man/AsianOption.Rd: Idem
* man/BermudanSwaption.Rd: Idem
* man/Bond.Rd: Idem
* man/CallableBond.Rd: Idem
* man/ConvertibleBond.Rd: Idem
* man/DiscountCurve.Rd: Idem
* man/FittedBondCurve.Rd: Idem
* man/FixedRateBond.Rd: Idem
* man/FloatingRateBond.Rd: Idem
* man/ImpliedVolatility.Rd: Idem
* man/Option.Rd: Idem
* man/SabrSwaption.Rd: Idem
* man/Schedule.Rd: Idem
* man/ZeroCouponBond.Rd: Idem
* man/tsQuotes.Rd: Idem
* R/affine.R: Correct typo in a warning message
* R/bermudan.R: Idem
* R/discount.R: Correct typo in an error message
* src/utils.cpp: Idem
* R/datasets.R: Correct typo in documentation
* R/calendars.R, src/calendars.cpp: Add Poland market calendars for
QuantLib 1.36 or later
2026-07-22 Maximilian Muecke <muecke.maximilian@gmail.com>
* R/implied.R (AmericanOptionImpliedVolatility.default): Assign the
ImpliedVolatility class used by the registered print and summary methods
* R/affine.R (AffineSwaption.default): Correct default handling of the
payFixed parameter
* src/utils.cpp: Accept "Euribor1W" as an alias for "EuriborSW" in
buildIborIndex
2026-07-21 Maximilian Muecke <muecke.maximilian@gmail.com>
* src/utils.cpp: Correct Euribor2W and Euribor3W tenors when using
QuantLib 1.35 or later
2026-07-20 Dirk Eddelbuettel <edd@debian.org>
* configure.ac: Refresh version list triggering 'outdated' message;
add test for local compilation using added flags (currently unused)
* configure: Idem
* src/Makevars.in: Minor edits to comments
* src/Makevars.win: Idem
2026-07-14 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* R/calendars.R: Updated set of calendars
* src/calendars.cpp: Idem
* tests/tinytest.R: Removed some old and now-unneeded versioning
2026-07-10 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Release 0.4.28
* src/calendars.cpp: Adjust to QuantLib 1.43 and its Israel calendar
ctor change, also remove a very old #ifdef version guard
* man/Enum.Rd: Add a small usage section with comment that is about
a parameter to other functions
* .Rbuildignore: Add .ccache
2026-07-08 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/ci.yaml: Add ccache-with-R action
2026-06-09 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/windows.yaml: Update checkout action
* .github/workflows/docker.yaml: Update all actions
2026-06-07 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.27
* configure.ac: Idem
* configure: Idem
* man/EuropeanOptionImpliedVolatility.Rd: Limit usage line length
2026-06-06 Dirk Eddelbuettel <edd@debian.org>
* man/BarrierOption.Rd: Updated as well
2026-04-07 Dirk Eddelbuettel <edd@debian.org>
* src/barrier_binary.cpp (barrierOptionEngine): For barrier option,
more careful about use of evaluation date, new parameter daycounter
* R/option.R (BarrierOption.default): Allow fractional year to
expiry as well as date
* src/RcppExports.cpp: Regenerated
* R/RcppExports.R: Idem
2026-03-28 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp (getDividendSchedule,getCallabilitySchedule): Remove
one old layer of try/catch and rely on the one provided by Rcpp
2026-03-09 Dirk Eddelbuettel <edd@debian.org>
* src/vanilla.cpp (europeanOptionEngine,americanOptionEngine): More
careful about use of evaluation date, new parameter daycounter
* R/option.R (EuropeanOption.default,AmericanOption.default): Allow
fractional year to expiry as well as date, support daycounter
* man/AmericanOption.Rd: Updated
* man/EuropeanOption.Rd: Idem
* inst/include/RQuantLib_RcppExports.h: Regenerated
* src/RcppExports.cpp: Idem
* R/RcppExports.R: Idem
2026-03-04 Dirk Eddelbuettel <edd@debian.org>
* src/implieds.cpp (europeanOptionImpliedVolatilityEngine): Use new
helper function with two Nullable<> args, remove alternate function
* src/utils.cpp (getFutureDate): Helper function for expiry date
given either maturity as fractional year or actual dates
* R/implied.R (EuropeanOptionImpliedVolatility.default): Use simpler
interface testing for either fractional time, or Date type
* inst/include/rquantlib_internal.h: Declare it
* inst/include/RQuantLib_RcppExports.h: Regenerated
* src/RcppExports.cpp: Idem
* R/RcppExports.R: Idem
2026-03-03 Dirk Eddelbuettel <edd@debian.org>
* src/implieds.cpp (americanOptionImpliedVolatilityEngine): Use
Nullable<> to supply either time or Date, remove alternate function
* R/implied.R (AmericanOptionImpliedVolatility.default): Use simpler
interface testing for either fractional time, or Date type
* inst/include/RQuantLib_RcppExports.h: Regenerated
* src/RcppExports.cpp: Idem
* R/RcppExports.R: Idem
2026-03-01 Dirk Eddelbuettel <edd@debian.org>
* src/barrier_binary.cpp: More careful about use of evaluation date,
new parameter daycounter for Barrier, Binary, BinaryImplied
* R/implied.R (BinaryOptionImpliedVolatility.default)
(BinaryOptionImpliedVolatility.default): Idem (for BinaryImplied)
* R/option.R (BinaryOption,BinaryOption.default,BarrierOption)
(BarrierOption.default): Idem (for Binary and Barrier)
* inst/include/RQuantLib_RcppExports.h: Regenerated
* src/RcppExports.cpp: Idem
* R/RcppExports.R: Idem
* man/BarrierOption.Rd: Updated
* man/BinaryOption.Rd: Idem
* man/BinaryOptionImpliedVolatility.Rd: Idem
2026-02-27 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/implieds.cpp (europeanOptionImpliedVolatilityEngine): More
careful about use of evaluation date, new parameter daycounter
(europeanOptionImpliedVolatilityEngineByDate): New (experimental)
variant taking explicit expiry date as argument, also daycounter
* R/implied.R (EuropeanOptionImpliedVolatility)
(EuropeanOptionImpliedVolatility.default): Expose new interface
* man/EuropeanOptionImpliedVolatility.Rd: Updated
* inst/include/RQuantLib_RcppExports.h: Regenerated
* src/RcppExports.cpp: Idem
* R/RcppExports.R: Idem
* NAMESPACE: Added two omitted 'ImpliedVolatility' S3 exports
2026-02-26 Dirk Eddelbuettel <edd@debian.org>
* src/implieds.cpp (americanOptionImpliedVolatilityEngine): More
careful about use of evaluation date, new parameter daycounter
(americanOptionImpliedVolatilityEngineByDate): New (experimental)
variant taking explicit expiry date as argument, also daycounter
* R/implied.R (AmericanOptionImpliedVolatility)
(AmericanOptionImpliedVolatility.default): Expose new interface
* man/AmericanOptionImpliedVolatility.Rd: Updated
* inst/include/RQuantLib_RcppExports.h: Regenerated
* src/RcppExports.cpp: Idem
* R/RcppExports.R: Idem
* NAMESPACE: Added two omitted 'ImpliedVolatility' S3 exports
2026-02-04 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/ci.yaml: Switch to actions/checkout@v6
2026-01-13 Dirk Eddelbuettel <edd@debian.org>
* src/RcppExports.cpp: Updated under current Rcpp
2025-09-24 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/ci.yaml: Use r-ci with embedded bootstrap
2025-04-24 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.26
* configure.ac: Idem
* configure: Idem
2025-04-23 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* inst/tinytest/test_schedule.R: Three adjustments for test behaviour
in QuantLib 1.38 (released today)
2025-03-25 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
2024-03-25 Tomas Kalibera <tomas.kalibera@gmail.com>
* src/Makevars.win: Preferentially use QuantLib from the system if
found via pkg-config (prepare for upcoming Rtools)
2025-03-24 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.25
* configure.ac: Idem
* configure: Idem
2025-01-10 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* configure.ac: Correct two possible bashisms
* configure: Regenerated
2024-08-07 Dirk Eddelbuettel <edd@debian.org>
* configure.ac: Add minor comment
2024-08-06 Jeroen Ooms <jeroenooms@gmail.com>
* configure.ac: Accomodate macOS 14 with new compiler flag
* configure: Idem
2024-08-05 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Authors@R): Added ORCID for Terry
2024-07-31 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.24
* configure.ac: Idem
* configure: Idem
2024-07-30 Dirk Eddelbuettel <edd@debian.org>
* src/vanilla.cpp: Refinement
* DESCRIPTION (Authors@R): Added
2024-07-29 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* configure.ac: Use PKG_LIBS and PKG_CXXFLAGS as internal variables,
no longer need to (conditionally) set -fpermissive
2024-07-24 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/vanilla.cpp: Accommodate builds on QuantLib versions as old as
1.25 by retaining the previous dividend treatment under #ifdef
* configure.ac: Update optional version checking to current versions
2024-07-23 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.23
* configure.ac: Idem
* configure: Idem
* src/bonds.cpp: Minor refactoring and C++ update
* src/utils.cpp: Idem
2024-07-22 Dirk Eddelbuettel <edd@debian.org>
* src/bermudan.cpp: Finalised refactoring and C++ update
2024-07-21 Dirk Eddelbuettel <edd@debian.org>
* src/hullwhite.cpp: Minor refactoring and C++ update
* src/bermudan.cpp: Idem
2024-07-14 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp (getFutureDate): New helper function
* inst/include/rquantlib_internal.h: Declaration
* src/asian.cpp: Use new helper function
* src/barrier_binary.cpp: Idem
* src/implieds.cpp Idem
* src/vanilla.cpp: Idem
* inst/include/rquantlib_internal.h: Move qlext namespace defintion
* src/affine.cpp: Minor refactoring and C++ update
2024-07-13 Dirk Eddelbuettel <edd@debian.org>
* src/asian.cpp: Minor refactoring and C++ update
* src/barrier_binary.cpp: Idem
* src/discount.cpp: Idem
* src/hullwhite.cpp: Idem
* src/implieds.cpp Idem
* src/vanilla.cpp: Idem
* src/zero.cpp: Idem
2024-07-12 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/vanilla.cpp (europeanOptionEngine): Update dividend case to
(initially deprecated, now removed) changes in upstream QuantLib
* src/utils.cpp: Update to Euribor* deprecation, conditional on
using QuantLb 1.35 or later
* README.md: Update three URLs
2024-05-25 Dirk Eddelbuettel <edd@debian.org>
* README.md: Use tinyverse.netlify.app for dependency badge
2024-04-25 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.22
* configure.ac: Idem
* configure: Idem
2024-04-20 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/bonds.cpp: Use QuantLib::Bond::Price in yield calculation
* src/zero.cpp: Use QuantLib::Bond::Price in yield calculation
* R/zzz.R (.onAttach):e Protect version comparison from possible '-rc'
in release candidate builds
* inst/tinytest/test_schedule.R: Idem
2024-03-20 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/Makevars.in (PKG_CXXFLAGS): No longer need -DBOOST_NO_AUTO_PTR
2024-03-09 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* R/asian.R: Remove three redundant duplicate methods available via
class 'option' inherited from
2024-02-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.21
* configure.ac: Idem
* configure: Idem
* .github/workflows/ci.yaml (jobs): Update to checkout@v4, switch to
using r-ci-setup action
2024-01-25 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* .github/workflows/windows.yaml: Dialed down to r-release only
2024-01-25 Jeroen Ooms <jeroenooms@gmail.com>
* tools/winlibs.R: Generalized to also support arm64 on Windows
* src/Makevars.win: Idem
* src/utils.cpp: Accomate cmake-generated version string
* .github/workflows/windows.yaml: Added
2024-01-06 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
2024-11-06 Jeroen Ooms <jeroenooms@gmail.com>
* configure.ac: Use universal build macOS build of QuantLib 1.31.1
* configure: Idem
2023-11-26 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.20
* configure.ac: Idem
* configure: Idem
* man/AffineSwaption.Rd: Add missing `\code` before stray `{}`
* man/BermudanSwaption.Rd: Ditto
* man/SabrSwaption.Rd: Ditto
* src/affine.cpp (calibrateModel2): Adjust printf format string
* src/bermudan.cpp (calibrateModel): Ditto
* man/CallableBond.Rd: Wrap example in 'if (interactive())' to not
run afould example computation time
* src/Makevars.in (#CXX_STD): No longer explicitly set C++14 which is
the default since R 4.2.0; if needed uncomment the line
* src/RcppExports.cpp: Regenrated under Rcpp 1.0.11.5 to avoid a
warning from -Wformat-security
2023-09-20 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/docker.yaml (jobs): Update to actions/checkout@v4
2023-08-07 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.19
* configure.ac: Idem
* configure: Idem
* man/AffineSwaption.Rd: Add \dontrun{} to example
* man/BermudanSwaption.Rd: Idem
* man/Bond.Rd: Idem
* man/DiscountCurve.Rd: Idem
* man/EuropeanOptionArrays.Rd: Idem
* src/Makevars.win: Remove useful-but-verboten compiler option to
silence overly verbose output due to Boost headers
2023-08-05 Dirk Eddelbuettel <edd@debian.org>
* configure.ac: Update configure checks
* configure: Idem
2023-07-25 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* inst/tinytest/test_schedule.R: Adjust three tests for QuantLib 1.31
* README.md: Mention qlcal, remove note about RcppQuantuccia
2023-06-28 Dirk Eddelbuettel <edd@debian.org>
* README.md: Add r-universe badge
2023-06-27 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/docker.yaml: Update actions to current version
2023-05-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.18
* src/utils.cpp: Use Rcpp::stop instead of throw
2023-04-29 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
2023-04-28 Jeroen Ooms <jeroenooms@gmail.com>
* src/Makevars.win: Refactor and simplify for current use
* tools/winlibs.R: Update to QuantLib 1.29 download
2023-04-27 Jeroen Ooms <jeroenooms@gmail.com>
* configure.ac: Update build to fetch arm|x86_64 macOS artifacts
* configure: Idem
* .github/workflows/ci.yam: Re-enable macOS tests
* inst/tinytest/test_dates.R: Skip one test file on macOS
2023-04-20 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll micro release and date
* src/sabr.cpp (swptnVolCube): Make SabrSwaptionVolatilityCube change
conditional on QuantLib 1.30 or later, else use SwaptionVolCube1
* R/RcppExports.R: Updated setLoadAction from updated Rcpp
2023-04-19 Dirk Eddelbuettel <edd@debian.org>
* src/sabr.cpp (swptnVolCube): Update from SwaptionVolCube1 to
SabrSwaptionVolatilityCube
* src/vanilla.cpp (americanOptionEngine): Tweaked deprecation
warnings (as in QL's own test file) to continue with dividend option
2023-01-13 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
2023-01-06 Dirk Eddelbuettel <edd@debian.org>
* R/arrays.R (plotOptionSurface): Provide default argument in case
none is given by user
2023-01-06 Duncan Murdoch <murdoch.duncan@gmail.com>
* R/arrays.R: Switch rgl::rgl.* to rgl::*3d functions
* demo/OptionSurfaces.R: Idem
2022-10-25 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.17
* configure.ac: Idem
* configure: Idem
* src/Makevars.in (CXX_STD): Switch to C++14
* src/Makevars.win (CXX_STD): Idem
* .github/workflows/ci.yaml (jobs): Update to actions/checkout@v3
2022-05-05 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.16
* configure.ac: Idem
* configure: Idem
2022-05-04 Dirk Eddelbuettel <edd@debian.org>
* R/affine.R: Use inherits instead of class
* R/bermudan.R: Idem
* R/sabr.R: Idem
2022-05-03 Dirk Eddelbuettel <edd@debian.org>
* docker/ci/Dockerfile: Small update
* docker/run/Dockerfile: Idem
2022-05-02 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* man/SabrSwaption.Rd: Move evaluation date of example by a day
* .github/workflows/docker.yaml: Only run on (coarse) schedule
2022-03-15 Kai Lin <klin441@gmail.com>
* src/utils.cpp (getDayCounter): change deprecated Actual365NoLeap()
to Actual365Fixed(Actual365Fixed::NoLeap)
* man/Enum.Rd: associated documentation change
* man/BondUtilities.Rd: remove mentions of daycounter deprecation,
remove mentions of compiler directives RQUANTLIB_USE_ACTUAL365NOLEAP
and RQUANTLIB_USE_ACTUALACTUAL
2021-11-30 Kai Lin <klin441@gmail.com>
* man/Enum.Rd: Update and extend documentation for DayCounter
2022-01-19 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.15
* configure.ac: Idem
* configure: Idem
* R/zzz.R: In interactice mode, display versions of RQuantLib at
startup
2022-01-18 Dirk Eddelbuettel <edd@debian.org>
* src/bonds.cpp: Updated for Quantlib 1.25
2021-12-28 Dirk Eddelbuettel <edd@debian.org>
* README.md: Remove unused continuous integration artifact and badge
2021-12-03 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp (getDayCounter): Use Rcpp::stop on error
2021-11-30 Kai Lin <klin441@gmail.com>
* src/utils.cpp (getDayCounter): Additional day counters
2021-11-29 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp (getDayCounter): Correct Thirty360() use
2021-11-04 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp (getBusinessDayList): Condition businessDayList
use on QuantLib 1.18 or newer
2021-11-03 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* src/calendars.cpp: Add getBusinessDayList
* R/calendars.R: Add businessDayList
* NAMESPACE: Export both
* man/Calendars.Rd: Documentation
2021-11-02 Dirk Eddelbuettel <edd@debian.org>
* R/calendars.R: Add calendars vector
* man/Calendars.Rd: Add documentation
2021-11-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* src/calendars.cpp (getCalendar): Add Chile and Null
2021-10-26 Dirk Eddelbuettel <edd@debian.org>
* README.md: Add 'See Also' to RcppQuantuccia
2021-10-06 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.14
* configure.ac: Idem
* configure: Idem
* configure.ac: Updated via 'autoupdate' and 'autoreconf
--warnings=obsolete' to bring to autoconf 2.69 standards
2021-09-29 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp (getCalendar): Add Austria (plus Exchange),
Bespoke, Botswana, Israel (plus TASE), Romania (plus BVB), Thailand
* src/calendars.cpp (getCalendar): Protect Austria and Romania by an
#ifdef for the QuantLib version to permit CRAN builds under older QL
* .github/workflows/ci.yaml (env): Add edd/misc PPA for CI
* .github/workflows/docker.yaml (on): Restrict Docker rebuilds to
pushes to master branch
2021-09-28 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* src/calendars.cpp (getCalendar): Support new UnitedStates calendars
'LiborImpact' and 'FederalReserve'
* src/calendars.cpp (getCalendar): Support new calendars 'France' (same
as 'France/Settlement') and 'France/Exchange'
2021-09-26 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/docker.yaml: Add action to build and push
containers with cron set to monthly schedule
2021-09-02 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.13
* configure.ac: Idem
* configure: Idem
* man/*.R: Update remaining http:// URLs to https://
* man/ConvertibleBond.Rd: Wrap \dontrun{} around example as it runs
twice as long as CRAN preference for five second examples
* man/FittedBondCurve.Rd: Idem
2021-08-26 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* src/bonds.cpp (fittedBondCurveEngine): Use Actual365Fixed() instead
of deprecated ActualActual()
* src/discount.cpp (discountCurveEngine): Idem
* src/utils.cpp (rebuildCurveFromZeroRates): Idem
* src/zero.cpp (zbtyield): Idem
* src/utils.cpp (buildTermStructure): Switch to
ActualActual::Convention::ISDA in ctor following
(getDayCounter): Condition away ActualActual() and Thirty360()
* man/BondUtilities.Rd: Document that ActualActual() and Thirty360()
can be enabled locally via #define
2021-08-17 Dirk Eddelbuettel <edd@debian.org>
* man/Enum.Rd: Correct eleven-year old typo
2021-07-14 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* README.md: Add note about usability with new QuantLib versions
2021-06-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (URL): Add repo to URL field
2021-01-18 Dirk Eddelbuettel <edd@debian.org>
* .github/workflows/ci.yaml: Add CI runner using r-ci
* README.md: Add new badge
2020-06-16 Dirk Eddelbuettel <edd@debian.org>
* .travis.yml: Switch to bionic, change to derive package and version
2020-04-02 Dirk Eddelbuettel <edd@debian.org>
* README.md: Correct one badge URL
2020-04-01 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.12
* configure.ac: Extract version from DESCRIPTION
* configure: Rebuilt
* README.md: Add 'last commit' badge, edited binaries section
2020-03-23 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* src/affine.cpp: Switch from depecreated BlackCalibrationHelper
to CalibrationHelper()
* src/bermudan.cpp: Idem
* src/hullwhite.cpp: Idem
* src/calendars.cpp: Switch from deprecated static method to standard
method for getHolidayList()
* src/curves.cpp: No longer use deprecated tolerance argument
2020-03-20 Dirk Eddelbuettel <edd@debian.org>
* README.md: Add Debian badge
2020-01-15 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.11
* configure.ac: Mark as 0.4.11
* configure: Rebuilt
2020-01-14 Dirk Eddelbuettel <edd@debian.org>
* src/utils.cpp (getCallabilitySchedule): Generalize support for
Bond::Price to fall back to Callability::Price for QL < 1.17
2020-01-13 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* src/utils.cpp (makeOption): Update from now-deprecated
FDEuropeanEngine to FdBlackScholesVanillaEngine
(getCallabilitySchedule): Update from now-deprecated
Callability::Price to Bond::Price
* src/vanilla.cpp (americanOptionEngine): Update from
now-deprecated FDDividendAmericanEngine and FDAmericanEngine to
FdBlackScholesVanillaEngine
2019-11-17 Dirk Eddelbuettel <edd@debian.org>
* inst/tinytest/*: Converted from RUnit to tinytest
* inst/unitTests/*: Idem
* tests/tinytest.R: Idem
* tests/doRUnit.R: Idem
* docker/ci/Dockerfile: Add tinytest, remove RUnit
2019-08-24 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor release
* src/calendars.cpp (getCalendar): Allow for Null calendar
2019-08-07 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.10
* configure.ac: Mark as 0.4.10
* configure: Rebuilt
2019-08-06 Dirk Eddelbuettel <edd@debian.org>
* docker/ci/Dockerfile: Add -t unstable to get QuantLib 1.16
2019-08-06 Jeroen Ooms <jeroenooms@gmail.com>
* src/Makevars.win: Updated for QuantLib 1.16 (for current and next
Window toolchain)
* tools/winlibs.R: Idem
2019-05-15 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.9
* configure.ac: Mark as 0.4.9
* configure: Rebuilt
2019-05-14 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Date, Version): New minor version
* src/asian.cpp: Use QuantLib::ext namespace for shared_ptr
* src/bermudan.cpp: Idem
* src/calendars.cpp: Idem
* inst/include/rquantlib_internal.h: Idem
2019-03-17 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.8
* configure.ac: Mark as 0.4.8
* configure: Rebuilt
2019-03-16 Dirk Eddelbuettel <edd@debian.org>
* src/calendars.cpp: Use QuantLib::ext for shared_ptr
* src/curves.cpp: Idem
* src/discount.cpp: Idem
* src/hullwhite.cpp: Idem
* src/implieds.cpp: Idem
* src/sabr.cpp: Idem
* src/schedule.cpp: Idem
* src/utils.cpp: Idem
* src/vanilla.cpp: Idem
* src/zero.cpp: Idem
* src/*: Removed Emacs formatting header line
* inst/include/*: Idem
* .editorconfig: Added to provide consistent settings
* .Rbuildignore: Exclude .editorconfig
2019-03-15 Dirk Eddelbuettel <edd@debian.org>
* inst/include/rquantlib_internal.h: Include ql/shared_ptr.hpp>
* src/affine.cpp: Use QuantLib::ext namespace for shared_ptr
* src/asian.cpp: Idem
* src/barrier_binary.cpp: Idem
* src/bermudan.cpp: Idem
* src/bonds.cpp: Idem
2019-03-14 Dirk Eddelbuettel <edd@debian.org>
* configure.ac: Correct use of AC_DEFUN (leaves configure unaffected)
2019-01-12 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New minor version
* R/arrays.R (plotOptionSurface): Call to utils::globalVariables()
now outside function where it triggered locked namespace error
2018-12-24 Dirk Eddelbuettel <edd@debian.org>
* README.md: Updates to README.me
2018-12-10 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.7
* configure.ac: Mark as 0.4.7
* configure: Rebuilt
2018-12-09 Dirk Eddelbuettel <edd@debian.org>
* man/AffineSwaption.Rd: Re-comment-out example for i386
2018-12-08 Dirk Eddelbuettel <edd@debian.org>
* man/*.Rd: Remove remaining SVN commit tag identifiers
2018-12-07 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor version
* src/Makevars.win: Reflect updated directory layout in updated
Windows library
* man/AffineSwaption.Rd: Restore example now that Windows works
* man/BermudanSwaption.Rd: Idem
* man/DiscountCurve.Rd: Idem
* tools/build_RQuantLib.sh: Added build script by Josh (with a big
thank you for setting it up and running a series of builds)
2018-12-03 Dirk Eddelbuettel <edd@debian.org>
* man/Bond.Rd: Restore example with correctly-built Windows library
* man/FixedRateBond.Rd: Idem
* man/FloaringRateBond.Rd: Idem
* man/SabrSwaption.Rd: Idem
* man/ZeroCouponBond.Rd: Idem
* tests/RQuantLib.R: Restore tests for Windows
* tests/doRUnit.R: Idem
2018-11-28 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor version
* man/CallableBond.Rd: Set evaluation date
* src/Makevars.in (PKG_CXXFLAGS): Add -DBOOST_NO_AUTO_PTR
* src/Makevars.win (PKG_CXXFLAGS): Idem
* inst/NEWS.Rd: A few post-release edits
2018-11-25 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): New release 0.4.6
2018-11-22 Dirk Eddelbuettel <edd@debian.org>
* configure.ac: Test for QuantLib 1.14
* configure: Idem
* tools/winlibs.R: Updated for QL 1.14 build by Josh
* man/Bond.Rd: Do not run examples to avoid Windows issue
* man/FixedRateBond.Rd: Idem
* man/FloaringRateBond.Rd: Idem
* man/SabrSwaption.Rd: Idem
* man/ZeroCouponBond.Rd: Idem
* tests/RQuantLib.R: Test for Windows, only run a portion of tests
* tests/doRUnit.R: Test for Windows
* src/Makevars.win: Set -Wno-deprecated-declarations options to
make the build less noisy
2018-11-20 Dirk Eddelbuettel <edd@debian.org>
* man/Bond.Rd: Example now uses dayCounter not accrualDayCounter
* man/FixedRateBond.Rd: Idem
* tests/RQuantLib.R: Idem
* tests/RQuantLib.Rout.save: Idem
2018-11-11 Dirk Eddelbuettel <edd@debian.org>
* src/Makevars.in (PKG_CXXFLAGS): No longer need the opt-in for
-DRCPP_NEW_DATE_DATETIME_VECTORS which is now on by default
2018-10-28 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor version
* src/asian.cpp: Patch fron Debian #911957 to support Boost 1.67
* src/barrier_binary.cpp: Idem
* src/implieds.cpp: Idem
* src/vanilla.cpp: Idem
* src/affine.cpp: Use BlackCalibrationHelper not CalibrationHelper
* src/bermudan.cpp: Idem
* src/hullwhite.cpp: Idem
* docker/ci/Dockerfile: Moved from ../Dockerfile
* docker/run/Dockerfile: Added, providing run-time
* .travis.yml: Use rquantlib/ci for Travis CI
2018-08-26 Dirk Eddelbuettel <edd@debian.org>
* .travis.yml: Remove unneeded compiler and language tags
2018-08-22 Dirk Eddelbuettel <edd@debian.org>
* DESCRIPTION (Version, Date): Roll minor version