RQuantLib package | R Documentation

RQuantLib v0.4.7

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 as suggested in the Contributing guide.

Installation

From Source

The package is on CRAN and can be installed as usual:

install.packages("RQuantLib")

Windows binary packages should be available.

For more OS-specific installation options, please see the wiki.

Authors

Dirk Eddelbuettel, Khanh Nguyen (during 2009-2010) and Terry Leitch (since 2016)

License

GPL (>= 2)

Functions in RQuantLib

Name	Description
AffineSwaption	Affine swaption valuation using several short-rate models
Enum	Documentation for parameters
BinaryOptionImpliedVolatility	Implied Volatility calculation for Binary Option
EuropeanOptionArrays	European Option evaluation using Closed-Form solution
AsianOption	Asian Option evaluation using Closed-Form solution
Bond	Base class for Bond price evalution
EuropeanOptionImpliedVolatility	Implied Volatility calculation for European Option
FittedBondCurve	Returns the discount curve (with zero rates and forwards) given set of bonds
ZeroCouponBond	Zero-Coupon bond pricing
Schedule	Schedule generation
BondUtilities	Bond parameter conversion utilities
ConvertibleBond	Convertible Bond evaluation for Fixed, Floating and Zero Coupon
Calendars	Calendar functions from QuantLib
EuropeanOption	European Option evaluation using Closed-Form solution
CallableBond	CallableBond evaluation
FixedRateBond	Fixed-Rate bond pricing
FloatingRateBond	Floating rate bond pricing
tsQuotes	Vol Cube Example Data Short time series examples
ImpliedVolatility	Base class for option-price implied volatility evalution
DiscountCurve	Returns the discount curve (with zero rates and forwards) given times
vcube	Vol Cube Example Data
getQuantLibCapabilities	Return configuration options of the QuantLib library
Option	Base class for option price evalution
getQuantLibVersion	Return the QuantLib version number
SabrSwaption	SABR swaption using vol cube data with bermudan alternative using markovfunctional
AmericanOptionImpliedVolatility	Implied Volatility calculation for American Option
BarrierOption	Barrier Option evaluation using Closed-Form solution
BermudanSwaption	Bermudan swaption valuation using several short-rate models
AmericanOption	American Option evaluation using Finite Differences
BinaryOption	Binary Option evaluation using Closed-Form solution
No Results!

Name

Description

AffineSwaption

Affine swaption valuation using several short-rate models

Enum

Documentation for parameters

BinaryOptionImpliedVolatility

Implied Volatility calculation for Binary Option

EuropeanOptionArrays

European Option evaluation using Closed-Form solution

AsianOption

Asian Option evaluation using Closed-Form solution

Bond

Base class for Bond price evalution

EuropeanOptionImpliedVolatility

Implied Volatility calculation for European Option

FittedBondCurve

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

ZeroCouponBond

Zero-Coupon bond pricing

Schedule

Schedule generation

BondUtilities

Bond parameter conversion utilities

ConvertibleBond

Convertible Bond evaluation for Fixed, Floating and Zero Coupon

Calendars

Calendar functions from QuantLib

EuropeanOption

European Option evaluation using Closed-Form solution

CallableBond

CallableBond evaluation

FixedRateBond

Fixed-Rate bond pricing

FloatingRateBond

Floating rate bond pricing

tsQuotes

Vol Cube Example Data Short time series examples

ImpliedVolatility

Base class for option-price implied volatility evalution

DiscountCurve

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

vcube

Vol Cube Example Data

getQuantLibCapabilities

Return configuration options of the QuantLib library

Option

Base class for option price evalution

getQuantLibVersion

Return the QuantLib version number

SabrSwaption

SABR swaption using vol cube data with bermudan alternative using markovfunctional

AmericanOptionImpliedVolatility

Implied Volatility calculation for American Option

BarrierOption

Barrier Option evaluation using Closed-Form solution

BermudanSwaption

Bermudan swaption valuation using several short-rate models

AmericanOption

American Option evaluation using Finite Differences

BinaryOption

Binary Option evaluation using Closed-Form solution

No Results!

Details

Date	2018-12-10
LazyLoad	true
LinkingTo	Rcpp
SystemRequirements	QuantLib library (>= 1.14) from http://quantlib.org, Boost library from http://www.boost.org
License	GPL (>= 2)
URL	http://dirk.eddelbuettel.com/code/rquantlib.html
BugReports	https://github.com/eddelbuettel/rquantlib/issues
RoxygenNote	6.0.1
NeedsCompilation	yes
Packaged	2018-12-10 11:44:17.240614 UTC; edd
Repository	CRAN
Date/Publication	2018-12-10 14:40:06 UTC

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