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>|
|Date of publication||2014-01-16 03:43:18|
|Maintainer||Dirk Eddelbuettel <firstname.lastname@example.org>|
|License||GPL (>= 2)|
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