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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).
Getting started
Browse package contents
Package details |
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| Author | Dirk Eddelbuettel <edd@debian.org> and Khanh Nguyen <knguyen@cs.umb.edu> |
| Maintainer | Dirk Eddelbuettel <edd@debian.org> |
| License | GPL (>= 2) |
| Version | 0.3.10.1 |
| URL | http://quantlib.org http://dirk.eddelbuettel.com/code/rquantlib.html |
| Package repository | View on R-Forge |
| Installation |
Install the latest version of this package by entering the following in R:
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