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RQuantLib (version 0.2.6)
R interface to the QuantLib library
Description
The RQuantLib package makes selected parts of QuantLib
visible to the R user. Currently some basic option pricing
functions are included, as well as fixed-income functions that
can be used for interest rate curve construction and Bermuda
swaption pricing. Further software contributions are welcome.
The QuantLib project aims to provide a comprehensive software
framework for quantitative finance. The goal is to provide a
standard open source library for quantitative analysis,
modeling, trading, and risk management of financial
assets.
The Windows binary version is self-contained and does not require
a QuantLib (or Boost) installation. QuantLib and Boost libraries
and header files are needed to build RQuantLib from source.
Parts of RQuantLib use the Rcpp R/C++ interface class library.
See the RcppTemplate package on CRAN for more information on Rcpp.
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Version
Install
install.packages('RQuantLib')
Monthly Downloads
2,398
Version
0.2.6
License
GPL Version 2 or later for RQuantLib; QuantLib itself is released
under an Open Source license as well (see QuantLib-License.txt).