CRAN Package Check Results for Package RQuantLib

Last updated on 2020-08-07 01:49:59 CEST.

Check Details

Version: 0.4.12
Check: installed package size
Result: NOTE
     installed size is 27.4Mb
     sub-directories of 1Mb or more:
     libs 26.8Mb
Flavors: r-devel-windows-ix86+x86_64, r-release-macos-x86_64, r-release-windows-ix86+x86_64, r-oldrel-macos-x86_64, r-oldrel-windows-ix86+x86_64

Version: 0.4.12
Check: examples
Result: ERROR
    Running examples in ‘RQuantLib-Ex.R’ failed
    The error most likely occurred in:
    
    > ### Name: AffineSwaption
    > ### Title: Affine swaption valuation using several short-rate models
    > ### Aliases: AffineSwaption AffineSwaption.default
    > ### summary.G2AnalyticAffineSwaption summary.HWAnalyticAffineSwaption
    > ### summary.HWTreeAffineSwaption summary.BKTreeAffineSwaption
    > ### Keywords: models
    >
    > ### ** Examples
    >
    > if (.Platform$OS.type != "windows" && .Platform$r_arch != "i386") {
    +
    + # This data was generated to match the original quantlib example for Bermudan Swaption
    + params <- list(tradeDate=as.Date('2016-2-15'),
    + settleDate=as.Date('2016-2-17'),
    + startDate=as.Date('2017-2-17'),
    + maturity=as.Date('2022-2-17'),
    + payFixed=TRUE,
    + european=FALSE,
    + dt=.25,
    + strike=.06,
    + method="G2Analytic",
    + interpWhat="discount",
    + interpHow="loglinear")
    +
    + # Market data used to construct the term structure of interest rates
    + tsQuotes <- list(d1w =0.0382,
    + d1m =0.0372,
    + fut1=96.2875,
    + fut2=96.7875,
    + fut3=96.9875,
    + fut4=96.6875,
    + fut5=96.4875,
    + fut6=96.3875,
    + fut7=96.2875,
    + fut8=96.0875,
    + s3y =0.0398,
    + s5y =0.0443,
    + s10y =0.05165,
    + s15y =0.055175)
    +
    +
    + # Swaption volatility matrix with corresponding maturities and tenors
    + swaptionMaturities <- c(1,2,3,4,5)
    +
    + swapTenors <- c(1,2,3,4,5)
    +
    + volMatrix <- matrix(
    + c(0.1490, 0.1340, 0.1228, 0.1189, 0.1148,
    + 0.1290, 0.1201, 0.1146, 0.1108, 0.1040,
    + 0.1149, 0.1112, 0.1070, 0.1010, 0.0957,
    + 0.1047, 0.1021, 0.0980, 0.0951, 0.1270,
    + 0.1000, 0.0950, 0.0900, 0.1230, 0.1160),
    + ncol=5, byrow=TRUE)
    +
    + legparams=list(dayCounter="Thirty360",
    + fixFreq="Annual",
    + floatFreq="Semiannual")
    +
    + setEvaluationDate(as.Date("2016-2-16"))
    + times<-times <- seq(0,14.75,.25)
    + dcurve <- DiscountCurve(params, tsQuotes, times=times,legparams)
    +
    + # Price the Bermudan swaption
    + pricing <- AffineSwaption(params, dcurve,swaptionMaturities, swapTenors, volMatrix,legparams)
    + summary(pricing)
    +
    + }
    
     *** caught segfault ***
    address 0x0, cause 'memory not mapped'
    
    Traceback:
     1: affineWithRebuiltCurveEngine(params, matchlegs, c(ts$table$date), ts$table$zeroRates, expiry, tenor, vol)
     2: AffineSwaption.default(params, dcurve, swaptionMaturities, swapTenors, volMatrix, legparams)
     3: AffineSwaption(params, dcurve, swaptionMaturities, swapTenors, volMatrix, legparams)
    An irrecoverable exception occurred. R is aborting now ...
Flavor: r-release-macos-x86_64

Version: 0.4.12
Check: tests
Result: ERROR
     Running ‘RQuantlib.R’ [1s/1s]
    Running the tests in ‘tests/RQuantlib.R’ failed.
    Last 13 lines of output:
     + settleDate=as.Date('2002-2-15'),
     + dt=0.25,
     + interpWhat='discount', interpHow='loglinear')
     > discountCurve <- DiscountCurve(discountCurve.param, list(flat=0.05))
     >
     > ZeroCouponBond(bond, discountCurve, dateparams)
    
     *** caught segfault ***
     address 0x0, cause 'memory not mapped'
    
     Traceback:
     1: ZeroBondWithRebuiltCurve(bond, c(discountCurve$table$date), discountCurve$table$zeroRates, dateparams)
     2: ZeroCouponBond.default(bond, discountCurve, dateparams)
     3: ZeroCouponBond(bond, discountCurve, dateparams)
     An irrecoverable exception occurred. R is aborting now ...
Flavor: r-release-macos-x86_64