Check results for 'RQuantLib'

using R version 4.0.0 Patched (2020-05-16 r78478)
using platform: x86_64-apple-darwin17.0 (64-bit)
using session charset: UTF-8
checking for file ‘RQuantLib/DESCRIPTION’ ... OK
this is package ‘RQuantLib’ version ‘0.4.12’
checking package namespace information ... OK
checking package dependencies ... OK
checking if this is a source package ... OK
checking if there is a namespace ... OK
checking for executable files ... OK
checking for hidden files and directories ... OK
checking for portable file names ... OK
checking for sufficient/correct file permissions ... OK
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
checking package directory ... OK
checking DESCRIPTION meta-information ... OK
checking top-level files ... OK
checking for left-over files ... OK
checking index information ... OK
checking package subdirectories ... OK
checking R files for non-ASCII characters ... OK
checking R files for syntax errors ... OK
checking whether the package can be loaded ... OK
checking whether the package can be loaded with stated dependencies ... OK
checking whether the package can be unloaded cleanly ... OK
checking whether the namespace can be loaded with stated dependencies ... OK
checking whether the namespace can be unloaded cleanly ... OK
checking loading without being on the library search path ... OK
checking dependencies in R code ... OK
checking S3 generic/method consistency ... OK
checking replacement functions ... OK
checking foreign function calls ... OK
checking R code for possible problems ... [4s/6s] OK
checking Rd files ... OK
checking Rd metadata ... OK
checking Rd cross-references ... OK
checking for missing documentation entries ... OK
checking for code/documentation mismatches ... OK
checking Rd \usage sections ... OK
checking Rd contents ... OK
checking for unstated dependencies in examples ... OK
checking contents of ‘data’ directory ... OK
checking data for non-ASCII characters ... OK
checking data for ASCII and uncompressed saves ... OK
checking line endings in shell scripts ... OK
checking line endings in C/C++/Fortran sources/headers ... OK
checking line endings in Makefiles ... OK
checking compilation flags in Makevars ... OK
checking for GNU extensions in Makefiles ... OK
checking for portable use of $(BLAS_LIBS) and $(LAPACK_LIBS) ... OK
checking use of PKG_*FLAGS in Makefiles ... OK
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