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RQuantLib (version 0.4.1)

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

1,555

Version

0.4.1

License

GPL (>= 2)

Maintainer

Dirk Eddelbuettel

Last Published

September 11th, 2015

Functions in RQuantLib (0.4.1)

FloatingRateBond

Floating rate bond pricing

EuropeanOptionArrays

European Option evaluation using Closed-Form solution

AmericanOptionImpliedVolatility

Implied Volatility calculation for American Option

Fixed-Rate bond pricing

Base class for Bond price evalution

FittedBondCurve

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

Schedule generation

BinaryOptionImpliedVolatility

Implied Volatility calculation for Binary Option

Calendar functions from QuantLib

EuropeanOptionImpliedVolatility

Implied Volatility calculation for European Option

Bond parameter conversion utilities

European Option evaluation using Closed-Form solution

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

ConvertibleBond

Convertible Bond evaluation for Fixed, Floating and Zero Coupon

Binary Option evaluation using Closed-Form solution

Base class for option price evalution

BermudanSwaption

Bermudan swaption valuation using several short-rate models

Asian Option evaluation using Closed-Form solution

Barrier Option evaluation using Closed-Form solution

CallableBond evaluation

American Option evaluation using Finite Differences

ImpliedVolatility

Base class for option-price implied volatility evalution

Documentation for parameters

Zero-Coupon bond pricing