RQuantLib: 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.

AuthorDirk Eddelbuettel, Khanh Nguyen (during 2009-2010), Terry Leitch (2016)
Date of publication2016-08-19 21:38:47
MaintainerDirk Eddelbuettel <edd@debian.org>
LicenseGPL (>= 2)
Version0.4.3
http://dirk.eddelbuettel.com/code/rquantlib.html

View on CRAN

Man pages

AffineSwaption: Affine swaption valuation using several short-rate models

AmericanOption: American Option evaluation using Finite Differences

AmericanOptionImpliedVolatility: Implied Volatility calculation for American Option

AsianOption: Asian Option evaluation using Closed-Form solution

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

Bond: Base class for Bond price evalution

BondUtilities: Bond parameter conversion utilities

Calendars: Calendar functions from QuantLib

CallableBond: CallableBond evaluation

ConvertibleBond: Convertible Bond evaluation for Fixed, Floating and Zero...

DiscountCurve: Returns the discount curve (with zero rates and forwards)...

Enum: Documentation for parameters

EuropeanOption: European Option evaluation using Closed-Form solution

EuropeanOptionArrays: European Option evaluation using Closed-Form solution

EuropeanOptionImpliedVolatility: Implied Volatility calculation for European Option

FittedBondCurve: Returns the discount curve (with zero rates and forwards)...

FixedRateBond: Fixed-Rate bond pricing

FloatingRateBond: Floating rate bond pricing

getQuantLibCapabilities: Return configuration options of the QuantLib library

getQuantLibVersion: Return the QuantLib version number

ImpliedVolatility: Base class for option-price implied volatility evalution

Option: Base class for option price evalution

SabrSwaption: SABR swaption using vol cube data with bermudan alternative...

Schedule: Schedule generation

tsQuotes: Vol Cube Example Data Short time series examples

vcube: Vol Cube Example Data

ZeroCouponBond: Zero-Coupon bond pricing

Functions

adjust Man page
advance Man page
advanceDate Man page
AffineSwaption Man page
AffineSwaption.default Man page
AmericanOption Man page
AmericanOption.default Man page
AmericanOptionImpliedVolatility Man page
AmericanOptionImpliedVolatility.default Man page
AsianOption Man page
AsianOption.default Man page
BarrierOption Man page
BarrierOption.default Man page
BermudanSwaption Man page
BermudanSwaption.default Man page
BinaryOption Man page
BinaryOption.default Man page
BinaryOptionImpliedVolatility Man page
BinaryOptionImpliedVolatility.default Man page
Bond Man page
businessDay Man page
businessDaysBetween Man page
CallableBond Man page
CallableBond.default Man page
ConvertibleFixedCouponBond Man page
ConvertibleFixedCouponBond.default Man page
ConvertibleFloatingCouponBond Man page
ConvertibleFloatingCouponBond.default Man page
ConvertibleZeroCouponBond Man page
ConvertibleZeroCouponBond.default Man page
dayCount Man page
DiscountCurve Man page
DiscountCurve.default Man page
endOfMonth Man page
Enum Man page
EuropeanOption Man page
EuropeanOptionArrays Man page
EuropeanOption.default Man page
EuropeanOptionImpliedVolatility Man page
EuropeanOptionImpliedVolatility.default Man page
FittedBondCurve Man page
FittedBondCurve.default Man page
FixedRateBond Man page
FixedRateBond.default Man page
FixedRateBondPriceByYield Man page
FixedRateBondPriceByYield.default Man page
FixedRateBondYield Man page
FixedRateBondYield.default Man page
FloatingRateBond Man page
FloatingRateBond.default Man page
getEndOfMonth Man page
getHolidayList Man page
getQuantLibCapabilities Man page
getQuantLibVersion Man page
holidayList Man page
ImpliedVolatility Man page
isBusinessDay Man page
isEndOfMonth Man page
isHoliday Man page
isWeekend Man page
matchBDC Man page
matchCompounding Man page
matchDateGen Man page
matchDayCounter Man page
matchFrequency Man page
matchParams Man page
oldEuropeanOptionArrays Man page
Option Man page
plot.Bond Man page
plot.DiscountCurve Man page
plot.FittedBondCurve Man page
plot.Option Man page
plotOptionSurface Man page
print.Bond Man page
print.FixedRateBond Man page
print.ImpliedVolatility Man page
print.Option Man page
SabrSwaption Man page
SabrSwaption.default Man page
Schedule Man page
Schedule.default Man page
setCalendarContext Man page
setEvaluationDate Man page
summary.BKTree Man page
summary.BKTreeAffineSwaption Man page
summary.Bond Man page
summary.G2Analytic Man page
summary.G2AnalyticAffineSwaption Man page
summary.HWAnalytic Man page
summary.HWAnalyticAffineSwaption Man page
summary.HWTree Man page
summary.HWTreeAffineSwaption Man page
summary.ImpliedVolatility Man page
summary.Option Man page
tsQuotes Man page
vcube Man page
yearFraction Man page
ZeroCouponBond Man page
ZeroCouponBond.default Man page
ZeroPriceByYield Man page
ZeroPriceByYield.default Man page
ZeroYield Man page
ZeroYield.default Man page

Files

RQuantLib
RQuantLib/inst
RQuantLib/inst/Boost_LICENSE.TXT
RQuantLib/inst/NEWS.Rd
RQuantLib/inst/shiny
RQuantLib/inst/shiny/DiscountCurve
RQuantLib/inst/shiny/DiscountCurve/ui.R
RQuantLib/inst/shiny/DiscountCurve/server.R
RQuantLib/inst/shiny/SabrSwaption
RQuantLib/inst/shiny/SabrSwaption/ui.R
RQuantLib/inst/shiny/SabrSwaption/server.R
RQuantLib/inst/shiny/SabrSwaption/README.md
RQuantLib/inst/shiny/SabrSwaption/volcube.csv
RQuantLib/inst/QuantLib_LICENSE.TXT
RQuantLib/inst/unitTests
RQuantLib/inst/unitTests/runit.businessdayconvention.R
RQuantLib/inst/unitTests/runit.options.R
RQuantLib/inst/unitTests/runit.calendar.R
RQuantLib/inst/unitTests/runTests.R
RQuantLib/inst/unitTests/cpp
RQuantLib/inst/unitTests/cpp/dates.cpp
RQuantLib/inst/unitTests/runit.dates.R
RQuantLib/inst/unitTests/runit.schedule.R
RQuantLib/inst/include
RQuantLib/inst/include/rquantlib_internal.h
RQuantLib/inst/include/rquantlib_impl.h
RQuantLib/inst/include/rquantlib_wrappers.h
RQuantLib/inst/include/RQuantLib_RcppExports.h
RQuantLib/inst/include/RQuantLib.h
RQuantLib/configure.ac
RQuantLib/tests
RQuantLib/tests/RQuantlib.R
RQuantLib/tests/doRUnit.R
RQuantLib/tests/RQuantlib.Rout.save
RQuantLib/src
RQuantLib/src/hullwhite.cpp
RQuantLib/src/zero.cpp
RQuantLib/src/bermudan.cpp
RQuantLib/src/bonds.cpp
RQuantLib/src/rquantlib.h
RQuantLib/src/affine.cpp
RQuantLib/src/barrier_binary.cpp
RQuantLib/src/daycounter.cpp
RQuantLib/src/asian.cpp
RQuantLib/src/discount.cpp
RQuantLib/src/sabr.cpp
RQuantLib/src/vanilla.cpp
RQuantLib/src/utils.cpp
RQuantLib/src/modules.cpp
RQuantLib/src/dates.cpp
RQuantLib/src/Makevars.in
RQuantLib/src/curves.cpp
RQuantLib/src/implieds.cpp
RQuantLib/src/Makevars.win
RQuantLib/src/RcppExports.cpp
RQuantLib/src/calendars.cpp
RQuantLib/src/schedule.cpp
RQuantLib/NAMESPACE
RQuantLib/demo
RQuantLib/demo/00Index
RQuantLib/demo/OptionSurfaces.R
RQuantLib/demo/ShinyDiscountCurves.R
RQuantLib/data
RQuantLib/data/vcube.RData
RQuantLib/data/tsQuotes.RData
RQuantLib/R
RQuantLib/R/affine.R RQuantLib/R/bond.R RQuantLib/R/unitTest.R RQuantLib/R/implied.R RQuantLib/R/hullWhiteCalibration.R RQuantLib/R/arrays.R RQuantLib/R/option.R RQuantLib/R/inline.R RQuantLib/R/sabr.R RQuantLib/R/calendars.R RQuantLib/R/bermudan.R RQuantLib/R/mod.R RQuantLib/R/schedule.R RQuantLib/R/dayCounter.R RQuantLib/R/RcppExports.R RQuantLib/R/discount.R RQuantLib/R/asian.R RQuantLib/R/datasets.R RQuantLib/R/zzz.R
RQuantLib/README.md
RQuantLib/MD5
RQuantLib/DESCRIPTION
RQuantLib/configure
RQuantLib/ChangeLog
RQuantLib/man
RQuantLib/man/AmericanOption.Rd RQuantLib/man/Enum.Rd RQuantLib/man/AffineSwaption.Rd RQuantLib/man/ConvertibleBond.Rd RQuantLib/man/ImpliedVolatility.Rd RQuantLib/man/getQuantLibCapabilities.Rd RQuantLib/man/FloatingRateBond.Rd RQuantLib/man/EuropeanOptionImpliedVolatility.Rd RQuantLib/man/BinaryOptionImpliedVolatility.Rd RQuantLib/man/SabrSwaption.Rd RQuantLib/man/CallableBond.Rd RQuantLib/man/EuropeanOptionArrays.Rd RQuantLib/man/BinaryOption.Rd RQuantLib/man/vcube.Rd RQuantLib/man/Calendars.Rd RQuantLib/man/Bond.Rd RQuantLib/man/Schedule.Rd RQuantLib/man/tsQuotes.Rd RQuantLib/man/ZeroCouponBond.Rd RQuantLib/man/getQuantLibVersion.Rd RQuantLib/man/FittedBondCurve.Rd RQuantLib/man/BondUtilities.Rd RQuantLib/man/AmericanOptionImpliedVolatility.Rd RQuantLib/man/DiscountCurve.Rd RQuantLib/man/AsianOption.Rd RQuantLib/man/Option.Rd RQuantLib/man/BarrierOption.Rd RQuantLib/man/FixedRateBond.Rd RQuantLib/man/EuropeanOption.Rd RQuantLib/man/BermudanSwaption.Rd
RQuantLib/cleanup

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