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A precompiled version for Windows x64
of the RHestonSLV package is available under
http://hpc-quantlib.de/src/RHestonSLV.zip
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Manual build and installation for Windows x64
If you decide to use different directories please don't
forget to adjust RHestonSLV/src/Makevars.win accordingly
1. Install R 3.3.1
run https://cran.r-project.org/bin/windows/base/R-3.3.1-win.exe
and intall under C:\dev\R
2. Install Rtools 3.3
run https://cran.r-project.org/bin/windows/Rtools/Rtools33.exe
and install in C:\Rtools
3. install cygwin
run installer https://www.cygwin.com/setup-x86_64.exe
and install under c:\dev\cygwin64
Do not forget to include the developer tools (incl. automake, gcc, g++, etc)
4. download and extract QuantLib
get source from
https://sourceforge.net/projects/quantlib/files/latest/download?source=files
and extract files to
c:\dev\QuantLib-1.8
5. download and extract boost
get source from
https://sourceforge.net/projects/boost/files/boost/1.61.0/
and extract files to
c:\dev\boost_1_61_1
6. Compile QuantLib
open cygwin sheel
> cd /cygrive/c/dev/QuantLib-1.8
> autogen.sh
> export CXX="/cygdrive/c/Rtools/mingw_64/bin/x86_64-w64-mingw32-g++.exe -IC:/dev/boost_1_61_0"
> export CXXFLAGS="-O2"
> ./configure --disable-shared
> cd ql
> make -j 8 install
7. download and compile RHestonSLV
7a. install Rcpp
> echo "install.packages(\"Rcpp\", repos=\"https://cran.r-project.org\")" | R --vanilla
7b. download RHestonSLV from
https://github.com/klausspanderen/RHestonSLV/archive/master.zip
und extract files to
c:\dev
> set PATH=$PATH:/cygdrive/c/dev/R/R-3.3.1/bin
> cd /cygdrive/c/dev
> R CMD INSTALL RHestonSLV