RcppQuantuccia:Rcpp bindings forQuantuccia
So what is Quantuccia?
Quantuccia isthe“little sister” ofQuantLib: A header-onlysubset of which aims to provide the essential parts ofQuantLib while beingeasier to deploy requiring onlyBoostheaders besides itself.
Being header-only makes providingQuantuccia forR a breeze as we can rely on theRcpp andBH packages.Nothing else is required, and as these packages are available on allrelevant platforms, deploying RcppQuantuccia is straightforward.
Example
Here we examine holiday lists for given calendars, specified bycountry and possibly exchange:
R>library(RcppQuantuccia)R> fromD<-as.Date("2017-01-01")R> toD<-as.Date("2017-12-31")R>getHolidays(fromD, toD)# default calender ie TARGET[1]"2017-04-14""2017-04-17""2017-05-01""2017-12-25""2017-12-26"R>setCalendar("UnitedStates")R>getHolidays(fromD, toD)# US aka US::Settlement[1]"2017-01-02""2017-01-16""2017-02-20""2017-05-29""2017-07-04""2017-09-04"[7]"2017-10-09""2017-11-10""2017-11-23""2017-12-25"R>setCalendar("UnitedStates::NYSE")R>getHolidays(fromD, toD)# US New York Stock Exchange[1]"2017-01-02""2017-01-16""2017-02-20""2017-04-14""2017-05-29""2017-07-04"[7]"2017-09-04""2017-11-23""2017-12-25"R>This shows the difference between the default US settlement calendarand the NYSE calendar which we selected explicitly.
Status
Still fairly new. Functional bute.g. several of the otherQuantLib calendars still need to be ported.
Installation
The package can be installed fromCRAN via
install.packages("RcppQuantuccia")or if you prefer non-release development version these can beinstalled from GitHub via e.g.
remotes::install_github("eddelbuettel/rcppquantuccia")or maybe just checkout the repository locally.
Authors
Dirk Eddelbuettel
License
GPL (>= 2)
Initially created: Thu Apr 19 20:20:12 CDT 2017
Last modified: Sun May 26 10:18:34 CDT 2024