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RQuantLib

About

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. Also included are general calendaring and holiday utilities. 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.

Authors

Dirk Eddelbuettel and Khanh Nguyen (during 2009-2010)

License

GPL (>= 2)

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Version

Install

install.packages('RQuantLib')

Monthly Downloads

1,555

Version

0.4.2

License

GPL (>= 2)

Maintainer

Dirk Eddelbuettel

Last Published

December 3rd, 2015

Functions in RQuantLib (0.4.2)

BinaryOption

Binary Option evaluation using Closed-Form solution
AmericanOption

American Option evaluation using Finite Differences
ZeroCouponBond

Zero-Coupon bond pricing
ImpliedVolatility

Base class for option-price implied volatility evalution
EuropeanOptionImpliedVolatility

Implied Volatility calculation for European Option
FittedBondCurve

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

Schedule generation
getQuantLibVersion

Return the QuantLib version number
BarrierOption

Barrier Option evaluation using Closed-Form solution
ConvertibleBond

Convertible Bond evaluation for Fixed, Floating and Zero Coupon
AsianOption

Asian Option evaluation using Closed-Form solution
DiscountCurve

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

Documentation for parameters
EuropeanOption

European Option evaluation using Closed-Form solution
Bond

Base class for Bond price evalution
EuropeanOptionArrays

European Option evaluation using Closed-Form solution
AmericanOptionImpliedVolatility

Implied Volatility calculation for American Option
CallableBond

CallableBond evaluation
Option

Base class for option price evalution
BondUtilities

Bond parameter conversion utilities
BinaryOptionImpliedVolatility

Implied Volatility calculation for Binary Option
getQuantLibCapabilities

Return configuration options of the QuantLib library
BermudanSwaption

Bermudan swaption valuation using several short-rate models
FixedRateBond

Fixed-Rate bond pricing
Calendars

Calendar functions from QuantLib
FloatingRateBond

Floating rate bond pricing