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eddelbuettel / rquantlib

R interface to the QuantLib library
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update news & change log drafts #45

Closed tleitch closed 8 years ago

tleitch commented 8 years ago

Draft. Not sure I understand versioning, so left as is from before.

eddelbuettel commented 8 years ago

I am closing this. I really do not have the time to baby sit yet another wave of failed merges. Recall that I suggested here in #43 to

just post it here?

as it i faster for me to just copy and paste your stuff.

tleitch commented 8 years ago

ChangeLog:

2016-05-09 Terry Leitch tleitch1@jhu.edu

* NAMSPACE: Updated to refelct new methods for affine swaption
* R/affine.R: New generic swaption model based on bermudan affine model
* R/bermudan.R: Swaption model modified to take more general tenor &

expiration dates and curve input * src/affine.cpp: New engine for affine swaption model * src/bermudan.cpp: Swaptions for fit selection & yield curve fit moved up into bermudan.R * man/AffineSwaption.Rmd: created * man/BermudanSwaption.Rmd: Modified to reflect DiscountCurve option and example updated

NEWS.Rmd:

\section{Changes in RQuantLib version 0.4.3 (2016-06-30)}{ \itemize{ \item Changes in RQuantLib code: \itemize{ \item BermudanSwaption has been modfied to take option expiration and swap tenors in order to enable more general swaption structure pricing. A more general search for the swaptions was developed to accomodate this. Also, a DiscountCurve is allowed as an alternative to market quotes to reduce computation time for a portfolio on a given valuation date. \item A parallel model to BermudanSwaption, AffineSwaption, was developed and has similar interface to BermudanSwaption but it allows for valuation of a European exercise swaption valutaion utlizing the same affine methods available in BermudanSwaption. AffineSwaption will also value a Bermudan swaption, but it does not take rate market quotes to build a term structure. A DiscountCurve object is required.(contributed by Terry Leitch in \ghpr{41}) } } }

From: Dirk Eddelbuettel notifications@github.com Reply-To: eddelbuettel/rquantlib <reply+007042a29091ae7dcfcb82158a3c491905f3ec27a423890a92cf00000001134c97d09 2a169ce09364fef@reply.github.com> Date: Thursday, May 12, 2016 at 3:13 PM To: eddelbuettel/rquantlib rquantlib@noreply.github.com Cc: terry leitch tleitch@uchicago.edu, Author author@noreply.github.com Subject: Re: [eddelbuettel/rquantlib] update news & change log drafts (#45)

I am closing this. I really do not have the time to baby sit yet another wave of failed merges. Recall that I suggested here https://github.com/eddelbuettel/rquantlib/pull/43#issuecomment-218029951 in #43 https://github.com/eddelbuettel/rquantlib/pull/43 to

just post it here?

as it i faster for me to just copy and paste your stuff.

‹ You are receiving this because you authored the thread. Reply to this email directly or view it on GitHub https://github.com/eddelbuettel/rquantlib/pull/45#issuecomment-218856959

eddelbuettel commented 8 years ago

Looks like the build failure had nothing to do with you ... but is the '10 minutes with no stdout' limit on Travis. Not sure how to overcome that.

eddelbuettel commented 8 years ago

There: https://docs.travis-ci.com/user/common-build-problems/#Build-times-out-because-no-output-was-received

tleitch commented 8 years ago

I was surprised on the fail, but I did forget to do R CMD check. My brain is fried from an all night Tuesday debug/performance on software that went live today.

eddelbuettel commented 8 years ago

I just checked git log .travis.yml and I did have that on at one point. I'll turn it back on. As I recall, it makes the output kinda ugly but c'est la vie

Apologies for barking earlier. You had not broken the build, we are simply close to limits here.

(And you did have spelling mistakes :) but I am not one to talk either.)