readme.win

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