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

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

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