# 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.

## RQuantLib

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)

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 No Results!