- using R version 4.0.0 Patched (2020-05-16 r78478)
- using platform: x86_64-apple-darwin17.0 (64-bit)
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- checking for file ‘RQuantLib/DESCRIPTION’ ... OK
- this is package ‘RQuantLib’ version ‘0.4.12’
- checking package namespace information ... OK
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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 replacement functions ... OK
- checking foreign function calls ... OK
- checking R code for possible problems ... [4s/6s] OK
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- 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