• using R version 4.0.0 Patched (2020-05-16 r78478)
  • using platform: x86_64-apple-darwin17.0 (64-bit)
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  • this is package ‘RQuantLib’ version ‘0.4.12’
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  • checking whether package ‘RQuantLib’ can be installed ... [389s/493s] OK
  • checking installed package size ... NOTE
      installed size is 90.7Mb
      sub-directories of 1Mb or more:
        libs 90.1Mb
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  • checking compiled code ... OK
  • checking examples ... [1s/1s] 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 ...
  • checking for unstated dependencies in ‘tests’ ... OK
  • checking tests ... [1s/1s] 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 ...
  • checking PDF version of manual ... OK
  • DONE
    Status: 2 ERRORs, 1 NOTE