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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 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)

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Version

Install

install.packages('RQuantLib')

Monthly Downloads

1,771

Version

0.4.7

License

GPL (>= 2)

Maintainer

Dirk Eddelbuettel

Last Published

December 10th, 2018

Functions in RQuantLib (0.4.7)

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