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 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)