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RQuantLib (version 0.4.0)

R Interface to the QuantLib Library

Description

The RQuantLib package makes parts of QuantLib accessible from R 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.

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Version

Install

install.packages('RQuantLib')

Monthly Downloads

2,046

Version

0.4.0

License

GPL (>= 2)

Maintainer

Dirk Eddelbuettel

Last Published

December 2nd, 2014

Functions in RQuantLib (0.4.0)

American Option evaluation using Finite Differences

Base class for option price evalution

FloatingRateBond

Floating rate bond pricing

Base class for Bond price evalution

Bond parameter conversion utilities

Zero-Coupon bond pricing

ImpliedVolatility

Base class for option-price implied volatility evalution

Asian Option evaluation using Closed-Form solution

Schedule generation

Barrier Option evaluation using Closed-Form solution

Documentation for parameters

AmericanOptionImpliedVolatility

Implied Volatility calculation for American Option

European Option evaluation using Closed-Form solution

FittedBondCurve

Returns the discount curve (with zero rates and forwards) given set of bonds

Calendar functions from QuantLib

BermudanSwaption

Bermudan swaption valuation using several short-rate models

ConvertibleBond

Convertible Bond evaluation for Fixed, Floating and Zero Coupon

Returns the discount curve (with zero rates and forwards) given times

BinaryOptionImpliedVolatility

Implied Volatility calculation for Binary Option

CallableBond evaluation

Binary Option evaluation using Closed-Form solution

EuropeanOptionImpliedVolatility

Implied Volatility calculation for European Option

EuropeanOptionArrays

European Option evaluation using Closed-Form solution

Fixed-Rate bond pricing