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

Package details

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)
URL http://quantlib.org http://dirk.eddelbuettel.com/code/rquantlib.html
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("RQuantLib", repos="http://R-Forge.R-project.org")

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RQuantLib documentation built on May 31, 2017, 2:11 a.m.