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.
The Windows binary version is self-contained and does not require a QuantLib (or Boost) installation.
RQuantLib uses the Rcpp R/C++ interface class library. See the Rcpp package on CRAN (or R-Forge) for more information on Rcpp.
Note that while RQuantLib's code is licensed under the GPL (v2 or later), QuantLib itself is released under a somewhat less restrictive Open Source license (see QuantLib-License.txt).
|Author||Dirk Eddelbuettel <firstname.lastname@example.org> and Khanh Nguyen <email@example.com>|
|Maintainer||Dirk Eddelbuettel <firstname.lastname@example.org>|
|License||GPL (>= 2)|
|Package repository||View on R-Forge|
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