RQuantLib (version 0.2.7)
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. This version of RQuantLib for
Windows was built using QuantLib 0.8.1 and Boost 1.34.0.
Parts of RQuantLib use the Rcpp R/C++ interface class library.
See the RcppTemplate package on CRAN for more information on Rcpp.