# RQuantLib v0.4.3

Monthly downloads

## R Interface to the 'QuantLib' Library

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.

## Readme

## 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)

## Functions in RQuantLib

Name | Description | |

BondUtilities | Bond parameter conversion utilities | |

AmericanOption | American Option evaluation using Finite Differences | |

BinaryOption | Binary Option evaluation using Closed-Form solution | |

BarrierOption | Barrier Option evaluation using Closed-Form solution | |

Bond | Base class for Bond price evalution | |

AsianOption | Asian Option evaluation using Closed-Form solution | |

AffineSwaption | 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 | CallableBond evaluation | |

DiscountCurve | 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 | |

FixedRateBond | Fixed-Rate bond pricing | |

EuropeanOptionArrays | European Option evaluation using Closed-Form solution | |

Calendars | Calendar functions from QuantLib | |

ConvertibleBond | Convertible Bond evaluation for Fixed, Floating and Zero Coupon | |

Enum | Documentation for parameters | |

EuropeanOptionImpliedVolatility | Implied Volatility calculation for European Option | |

EuropeanOption | European Option evaluation using Closed-Form solution | |

getQuantLibVersion | Return the QuantLib version number | |

Schedule | Schedule generation | |

SabrSwaption | SABR swaption using vol cube data with bermudan alternative using markovfunctional | |

tsQuotes | Vol Cube Example Data Short time series examples | |

ZeroCouponBond | Zero-Coupon bond pricing | |

FloatingRateBond | Floating rate bond pricing | |

ImpliedVolatility | Base class for option-price implied volatility evalution | |

Option | Base class for option price evalution | |

getQuantLibCapabilities | Return configuration options of the QuantLib library | |

vcube | Vol Cube Example Data | |

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## Last month downloads

## Details

Date | 2016-08-19 |

LazyLoad | true |

LinkingTo | Rcpp |

SystemRequirements | QuantLib library (>= 1.7.0) from http://quantlib.org, Boost library from http://www.boost.org |

OS_type | unix |

License | GPL (>= 2) |

URL | http://dirk.eddelbuettel.com/code/rquantlib.html |

BugReports | https://github.com/eddelbuettel/rquantlib/issues |

RoxygenNote | 5.0.1 |

NeedsCompilation | yes |

Packaged | 2016-08-19 14:52:11.77487 UTC; edd |

Repository | CRAN |

Date/Publication | 2016-08-19 21:38:47 |

imports | graphics , methods , Rcpp (>= 0.11.0) , stats , zoo |

depends | R (>= 2.10.0) |

suggests | rgl , RUnit , shiny |

Contributors | Dirk Eddelbuettel, Khanh Nguyen, Terry Leitch |

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