RQuantLib v0.4.7

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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 Build Status License CRAN Dependencies Downloads

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
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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

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