RQuantLib v0.4.3
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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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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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