klin333
klin333
### Description `Return.annualized` seems to be unnecessarily slow. Seems a simple code tweak (1 line change) can speed it up by 100x? Am I missing something? I'm new to this...
extend OvernightIndexedCoupon and OvernightLeg with fixing days, observation shift, lockout and no payment lag on final payment I am not a professionaly trained C++ programmer... Also, i'm not set up...
Hi, Currently I believe the EOM rule kicks in for date advance() if the start date is the last **business** day of the month. However, there are use cases where...
Hi, OvernightIndexedCoupon and OvernightLeg may need to be revamped to handle the different ways overnight indexed floating rate bonds work. The variously ways are detailed in https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/users-guide-to-sofr2021-update.pdf see page 16-19....
Hi, According to https://cran.r-project.org/web/packages/Rcpp/vignettes/Rcpp-attributes.pdf, not all C++ default argument values can be parsed into their R equivalents, but Rcpp can handle CharacterVector, IntegerVector, and NumericVector instantiated using the ::create static...
I wrote a bit of code from a few years ago to recursively remove all .Environment attributes from an object and all its sub objects. It was a bit of...
Fixes issue #99 Looking at the Gurobi docs, there are status codes which indicate user limits reached. It appears to me suboptimal solution may and often exist in these cases....
**Describe the bug** Trycatch of solver error for GUROBI is not done well, resulting is cryptic error message shown to users of CVXR when the solver fails. **To Reproduce** ```...
QL 1.23 hard deprecated ActualActual with no explicit convention argument, but in RQuantLib we only soft deprecate Enum 2, by explicitly passing in the same default convention. Do we want...
**Describe the bug** When the formula.tools package is loaded in namespace, openxlsx writing of excel sheets that include excel formula fails. Excel complains of "we found a problem with some...