RQuantLib: R interface to the QuantLib library

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).

AuthorDirk Eddelbuettel <edd@debian.org> and Khanh Nguyen <knguyen@cs.umb.edu>
Date of publication2014-01-16 03:43:18
MaintainerDirk Eddelbuettel <edd@debian.org>
LicenseGPL (>= 2)
Version0.3.10.1
http://quantlib.org http://dirk.eddelbuettel.com/code/rquantlib.html

View on R-Forge

Functions

adjust Man page
advance Man page
AmericanOption Man page
AmericanOption.default Man page
AmericanOptionImpliedVolatility Man page
AmericanOptionImpliedVolatility.default Man page
AsianOption Man page
AsianOption.default Man page
BarrierOption Man page
BarrierOption.default Man page
BermudanSwaption Man page
BermudanSwaption.default Man page
BinaryOption Man page
BinaryOption.default Man page
BinaryOptionImpliedVolatility Man page
BinaryOptionImpliedVolatility.default Man page
Bond Man page
businessDay Man page
businessDaysBetween Man page
CallableBond Man page
CallableBond.default Man page
ConvertibleFixedCouponBond Man page
ConvertibleFixedCouponBond.default Man page
ConvertibleFloatingCouponBond Man page
ConvertibleFloatingCouponBond.default Man page
ConvertibleZeroCouponBond Man page
ConvertibleZeroCouponBond.default Man page
dayCount Man page
DiscountCurve Man page
DiscountCurve.default Man page
endOfMonth Man page
Enum Man page
EuropeanOption Man page
EuropeanOptionArrays Man page
EuropeanOption.default Man page
EuropeanOptionImpliedVolatility Man page
EuropeanOptionImpliedVolatility.default Man page
FittedBondCurve Man page
FittedBondCurve.default Man page
FixedRateBond Man page
FixedRateBond.default Man page
FixedRateBondPriceByYield Man page
FixedRateBondPriceByYield.default Man page
FixedRateBondYield Man page
FixedRateBondYield.default Man page
FloatingRateBond Man page
FloatingRateBond.default Man page
getEndOfMonth Man page
getHolidayList Man page
holidayList Man page
ImpliedVolatility Man page
isBusinessDay Man page
isEndOfMonth Man page
isHoliday Man page
isWeekend Man page
matchBDC Man page
matchCompounding Man page
matchDateGen Man page
matchDayCounter Man page
matchFrequency Man page
matchParams Man page
oldEuropeanOptionArrays Man page
Option Man page
plot.Bond Man page
plot.DiscountCurve Man page
plot.FittedBondCurve Man page
plot.Option Man page
plotOptionSurface Man page
print.Bond Man page
print.ImpliedVolatility Man page
print.Option Man page
setCalendarContext Man page
setEvaluationDate Man page
summary.BKTree Man page
summary.Bond Man page
summary.G2Analytic Man page
summary.HWAnalytic Man page
summary.HWTree Man page
summary.ImpliedVolatility Man page
summary.Option Man page
yearFraction Man page
ZeroCouponBond Man page
ZeroCouponBond.default Man page
ZeroPriceByYield Man page
ZeroPriceByYield.default Man page
ZeroYield Man page
ZeroYield.default Man page

Files

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

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