RQuantLib: R interface to the QuantLib library

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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 <edd@debian.org> and Khanh Nguyen <knguyen@cs.umb.edu>
Date of publication
2014-01-16 03:43:18
Maintainer
Dirk Eddelbuettel <edd@debian.org>
License
GPL (>= 2)
Version
0.3.10.1
URLs

View on R-Forge

Man pages

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
ImpliedVolatility
Base class for option-price implied volatility evalution
Option
Base class for option price evalution
ZeroCouponBond
Zero-Coupon bond pricing

Files in this package

RQuantLib/ChangeLog
RQuantLib/DESCRIPTION
RQuantLib/NAMESPACE
RQuantLib/R
RQuantLib/R/arrays.R
RQuantLib/R/asian.R
RQuantLib/R/bermudan.R
RQuantLib/R/bond.R
RQuantLib/R/calendars.R
RQuantLib/R/dayCounter.R
RQuantLib/R/discount.R
RQuantLib/R/hullWhiteCalibration.R
RQuantLib/R/implied.R
RQuantLib/R/inline.R
RQuantLib/R/mod.R
RQuantLib/R/option.R
RQuantLib/R/zzz.R
RQuantLib/cleanup
RQuantLib/configure
RQuantLib/configure.in
RQuantLib/demo
RQuantLib/demo/00Index
RQuantLib/demo/OptionSurfaces.R
RQuantLib/inst
RQuantLib/inst/Boost-License.txt
RQuantLib/inst/QuantLib-License.txt
RQuantLib/inst/include
RQuantLib/inst/include/rquantlib.h
RQuantLib/inst/unitTests
RQuantLib/inst/unitTests/runTests.R
RQuantLib/inst/unitTests/runit.calendar.R
RQuantLib/inst/unitTests/runit.options.R
RQuantLib/man
RQuantLib/man/AmericanOption.Rd
RQuantLib/man/AmericanOptionImpliedVolatility.Rd
RQuantLib/man/AsianOption.Rd
RQuantLib/man/BarrierOption.Rd
RQuantLib/man/BermudanSwaption.Rd
RQuantLib/man/BinaryOption.Rd
RQuantLib/man/BinaryOptionImpliedVolatility.Rd
RQuantLib/man/Bond.Rd
RQuantLib/man/BondUtilities.Rd
RQuantLib/man/Calendars.Rd
RQuantLib/man/CallableBond.Rd
RQuantLib/man/ConvertibleBond.Rd
RQuantLib/man/DiscountCurve.Rd
RQuantLib/man/Enum.Rd
RQuantLib/man/EuropeanOption.Rd
RQuantLib/man/EuropeanOptionArrays.Rd
RQuantLib/man/EuropeanOptionImpliedVolatility.Rd
RQuantLib/man/FittedBondCurve.Rd
RQuantLib/man/FixedRateBond.Rd
RQuantLib/man/FloatingRateBond.Rd
RQuantLib/man/ImpliedVolatility.Rd
RQuantLib/man/Option.Rd
RQuantLib/man/ZeroCouponBond.Rd
RQuantLib/src
RQuantLib/src/Makevars.in
RQuantLib/src/Makevars.win
RQuantLib/src/asian.cpp
RQuantLib/src/barrier_binary.cpp
RQuantLib/src/bermudan.cpp
RQuantLib/src/bonds.cpp
RQuantLib/src/calendars.cpp
RQuantLib/src/curves.cpp
RQuantLib/src/daycounter.cpp
RQuantLib/src/discount.cpp
RQuantLib/src/hullwhite.cpp
RQuantLib/src/implieds.cpp
RQuantLib/src/modules.cpp
RQuantLib/src/utils.cpp
RQuantLib/src/vanilla.cpp
RQuantLib/src/zero.cpp
RQuantLib/tests
RQuantLib/tests/RQuantlib.R
RQuantLib/tests/RQuantlib.Rout.save
RQuantLib/tests/doRUnit.R