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.

Author
Dirk Eddelbuettel, Khanh Nguyen (during 2009-2010), Terry Leitch (2016)
Date of publication
2016-08-19 21:38:47
Maintainer
Dirk Eddelbuettel <edd@debian.org>
License
GPL (>= 2)
Version
0.4.3
URLs

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

Files in this package

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