RQuantLib v0.4.9

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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 are available via CRAN thanks to the library provided by Joshua Ulrich via the rwinlib/quantlib repository.

Binaries for macOS could be provided if we had a similar binary library, ideally via the s-u/recipes repository. Some efforts are under way and coordinated on the rquantlib mailing list so stay tuned.

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

Support

Come to the friendly and low-volume rquantlib mailing list for help.

Authors

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

License

GPL (>= 2)

Functions in RQuantLib

Name Description
Bond Base class for Bond price evalution
tsQuotes Vol Cube Example Data Short time series examples
FixedRateBond Fixed-Rate bond pricing
Schedule Schedule generation
ConvertibleBond Convertible Bond evaluation for Fixed, Floating and Zero Coupon
BondUtilities Bond parameter conversion utilities
DiscountCurve Returns the discount curve (with zero rates and forwards) given times
CallableBond CallableBond evaluation
ZeroCouponBond Zero-Coupon bond pricing
Calendars Calendar functions from QuantLib
vcube Vol Cube Example Data
FloatingRateBond Floating rate bond pricing
ImpliedVolatility Base class for option-price implied volatility evalution
Enum Documentation for parameters
EuropeanOption European Option evaluation using Closed-Form solution
Option Base class for option price evalution
getQuantLibVersion Return the QuantLib version number
EuropeanOptionArrays European Option evaluation using Closed-Form solution
getQuantLibCapabilities Return configuration options of the QuantLib library
EuropeanOptionImpliedVolatility Implied Volatility calculation for European Option
SabrSwaption SABR swaption using vol cube data with bermudan alternative using markovfunctional
BarrierOption Barrier Option evaluation using Closed-Form solution
BermudanSwaption Bermudan swaption valuation using several short-rate models
BinaryOption Binary Option evaluation using Closed-Form solution
BinaryOptionImpliedVolatility Implied Volatility calculation for Binary Option
AffineSwaption Affine swaption valuation using several short-rate models
AmericanOption American Option evaluation using Finite Differences
FittedBondCurve Returns the discount curve (with zero rates and forwards) given set of bonds
AmericanOptionImpliedVolatility Implied Volatility calculation for American Option
AsianOption Asian Option evaluation using Closed-Form solution
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Details

Date 2019-05-15
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 2019-05-15 12:18:02.343993 UTC; edd
Repository CRAN
Date/Publication 2019-05-19 12:10:03 UTC

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