2013-02-17 Dirk Eddelbuettel * 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 * src/discount.cpp (DiscountCurve): R-devel on Windows now longer likes a data.frame instantiation here, so passing back as list and ... * R/discount.R (DiscountCurve.default): ... making it a data.frame here. 2012-12-01 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.9 * src/vanilla.cpp (AmericanOption): Support engine choice, adding "CrankNicolson" to the default "BaroneAdesiWhaley" as the former adds 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 * src/bonds.cpp: Remove remaining std::cout use * src/curve.cpp: Idem * src/zero.cpp: Idem 2011-12-27 Dirk Eddelbuettel * src/Makevars.win: Add -I"$(BOOSTLIB)" which is what other CRAN packages depending on Boost do 2011-09-11 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.8 2011-09-10 Dirk Eddelbuettel * R/dayCounter.R: Added new function 'setEvaluationDate' as a simple pass-through function to set a date as the QuantLib evaluation date * src/daycounter.cpp: C++ part of setEvaluationDate() * man/Calendars.Rd: Documentation for setEvaluationDate() 2011-09-09 Dirk Eddelbuettel * src/discount.cpp (DiscountCurve): Cache the (global) value of QuantLib::Settings::instance().evaluationDate() and reset it at end, with thanks to Helmut Heiming for the bug report. 2011-05-02 Dirk Eddelbuettel * configure.in: If g++ version 4.6 or newer is detected, add the -fpermissive option (which was also required in a Debian-only fix release of 0.3.7 which was made today) 2011-04-04 Dirk Eddelbuettel * src/Makevars.win: Simplified using lib${R_ARCH} 2011-04-03 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.7 * man/ConvertibleBond.Rd: Commented-out URLs with 70+ character length as they trigger a bug when the corresponding latex manual is typeset with the a4 style file. Thanks to Uwe Ligges for spotting this. * man/Enum.Rd: Idem * man/FittedBondCurve.Rd: Idem * src/Makevars.win: Adjust link command to '-lQuantLib', and support 32 and 64 bit builds of the QuantLib library 2011-02-21 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.6 * src/bermudan.cpp: Added two explicit casts to double scalar * src/utils.cpp: Idem 2010-11-15 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.5 * DESCRIPTION: Added RUnit to Suggests: * src/bonds.cpp: Use std::vector< RelinkableHandle < Quote > > to store a vector of quotes, rather than a variable length array which g++ -pedantic and the ISO C++ standard both dislike * src/zero.cpp: Idem * man/Calendars.Rd: Folded manual pages adjust.Rd, advance.Rd, businessDaysBetween.Rd, dayCount.Rd, yearFraction into this. * man/ConvertibleBond.Rd: Folded manual pages ConvertibleFixedCouponBond.Rd, ConvertibleFloatingCouponBond.Rd, and ConvertibleZeroCouponBond.Rd into this one. * man/FixedRateBond.Rd: Folded manual pages FixedRateBondYield.Rd FixedRateBondPriceByYield.Rd into this one. * man/ZeroCouponBond.Rd: Folded manual pages ZeroPriceByYield.Rd and ZeroYield.Rd into this one. * tests/RQuantlib.Rout.save: Updated to results from running against QuantLib 1.0.1 which affected one yield computation at the third decimal, as well as one date calculation. 2010-11-01 Dirk Eddelbuettel * man/AmericanOption.Rd: Correction to how generics are documented * man/AmericanOptionImpliedVolatility.Rd: Idem * man/BarrierOption.Rd: Idem * man/BinaryOptionImpliedVolatility.Rd: Idem * man/BinaryOption.Rd: Idem * man/EuropeanOptionImpliedVolatility.Rd: Idem * man/EuropeanOption.Rd: Idem * man/Bond.Rd: Idem * man/CallableBond.Rd: Idem * man/ConvertibleFixedCouponBond.Rd: Idem * man/ConvertibleFloatingCouponBond.Rd: Idem * man/ConvertibleZeroCouponBond.Rd: Idem * man/FixedRateBondPriceByYield.Rd: Idem * man/FixedRateBond.Rd: Idem * man/FixedRateBondYield.Rd: Idem * man/FloatingRateBond.Rd: Idem * man.ImpliedVolatility.Rd: Idem * man/Option.Rd: Idem * man/ZeroCouponBond.Rd: Idem * man/ZeroPriceByYield.Rd: Idem * man/ZeroYield.Rd: Idem * R/bond.R: Standardised generics * DESCRIPTION: Added Suggests: zoo 2010-08-09 Dirk Eddelbuettel * 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 * 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 * 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 ' instead 2010-08-03 Dirk Eddelbuettel * DESCRIPTION: Release 0.3.3 2010-08-02 Dirk Eddelbuettel * 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 * src/asian.cpp: Added arithmetic average case * R/asian.R: Idem * man/asian.Rd: Idem 2010-06-30 Dirk Eddelbuettel * inst/unitTests/runit.calendar.R: Beginnings of calendar unit tests 2010-06-23 Dirk Eddelbuettel * src/*: Converted remainder of code to new Rcpp API 2010-06-20 Dirk Eddelbuettel * 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 * 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 * src/bonds.cpp: Converted to new API 2010-06-17 Dirk Eddelbuettel * src/curves.cpp: Converted to new API * src/discount.cpp: Idem * src/hullwhite.cpp: Idem * src/bermudan.cpp: Idem 2010-06-16 Dirk Eddelbuettel * 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 * src/vanilla.cpp: Converted to new API 2010-06-14 Dirk Eddelbuettel * 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 * 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 * 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 * 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 * src/*.cpp: Suppress a few g++ warnings * src/calendar.cpp: Added South Korea and Brazil 2010-04-21 Dirk Eddelbuettel * inst/unitTests/runitOptions.R: Updated binary option test 2010-04-05 Khanh Nguyen * R/hullWhiteCalibration.R: added Hull-White calibration * src/hullwhite.cpp: added Hull-White calibration 2010-02-12 Khanh Nguyen * R/*,src/*: Remove some deprecated fixed income code * tests/*: Remove corresponding tests 2010-01-23 Dirk Eddelbuettel * NAMESPACE: Some small cleanups 2010-01-22 Khanh Nguyen * 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 * 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 * 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 * 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 * 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 * 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 * 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 * man/DiscountCurve.Rd: Change as per QL 0.9.7's Swap/swapvaluation.cpp 2009-09-06 Dirk Eddelbuettel * src/Makefile.win: Small rewrite to automatically build over all included .cpp files and some other fixes 2009-09-05 Dirk Eddelbuettel * 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 * 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 * 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 * 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 * 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