RQuantLib

v. 
by Dirk Eddelbuettel
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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

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.
Full Readme

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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