RQuantLib package - RDocumentation

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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.

Status

The package is actively maintained, and is still being extended. Contributions are welcome, and initial discussions via GitHub issue tickets are encouraged.

Authors

Dirk Eddelbuettel and Khanh Nguyen (during 2009-2010)

License

GPL (>= 2)

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Version

Install

install.packages('RQuantLib')

Monthly Downloads

1,771

Version

0.4.3

License

GPL (>= 2)

Maintainer

Dirk Eddelbuettel

Last Published

August 19th, 2016

Functions in RQuantLib (0.4.3)

Bond parameter conversion utilities

American Option evaluation using Finite Differences

Binary Option evaluation using Closed-Form solution

Barrier Option evaluation using Closed-Form solution

Base class for Bond price evalution

Asian Option evaluation using Closed-Form solution

Affine swaption valuation using several short-rate models

BinaryOptionImpliedVolatility

Implied Volatility calculation for Binary Option

AmericanOptionImpliedVolatility

Implied Volatility calculation for American Option

BermudanSwaption

Bermudan swaption valuation using several short-rate models

CallableBond evaluation

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

FittedBondCurve

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

Fixed-Rate bond pricing

EuropeanOptionArrays

European Option evaluation using Closed-Form solution

Calendar functions from QuantLib

ConvertibleBond

Convertible Bond evaluation for Fixed, Floating and Zero Coupon

Documentation for parameters

EuropeanOptionImpliedVolatility

Implied Volatility calculation for European Option

European Option evaluation using Closed-Form solution

getQuantLibVersion

Return the QuantLib version number

Schedule generation

SABR swaption using vol cube data with bermudan alternative using markovfunctional

Vol Cube Example Data Short time series examples

Zero-Coupon bond pricing

FloatingRateBond

Floating rate bond pricing

ImpliedVolatility

Base class for option-price implied volatility evalution

Base class for option price evalution

getQuantLibCapabilities

Return configuration options of the QuantLib library

Vol Cube Example Data