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

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

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