RQuantLib (version 0.3.1)
R interface to the QuantLib library
Description
The RQuantLib package makes parts of QuantLib visible to
the R user. Currently a number option pricing functions are
included, both vanilla and exotic, as well as a broad range of
fixed-income functions, as well a general utilities such as
business day calendar computations. 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.
RQuantLib uses the Rcpp R/C++ interface class library. See the Rcpp
package on CRAN (or R-Forge) for more information on Rcpp.
Note that while RQuantLib's code is licensed under the GPL (v2 or
later), QuantLib itself is released under a somewhat less
restrictive Open Source license (see QuantLib-License.txt).