R Interface to the 'QuantLib' Library

The 'RQuantLib' package makes parts of 'QuantLib' accessible from R 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 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 package is actively maintained, and is still being extended. Contributions are welcome, and initial discussions via GitHub issue tickets are encouraged.

Dirk Eddelbuettel and Khanh Nguyen (during 2009-2010)

GPL (>= 2)

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Reference manual

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install.packages("RQuantLib")

0.4.4 by Dirk Eddelbuettel, 15 days ago


http://dirk.eddelbuettel.com/code/rquantlib.html


Report a bug at https://github.com/eddelbuettel/rquantlib/issues


Browse source code at https://github.com/cran/RQuantLib


Authors: Dirk Eddelbuettel, Khanh Nguyen (2009-2010), Terry Leitch (since 2016)


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


Imports methods, Rcpp, stats, graphics, zoo

Suggests rgl, RUnit, shiny

Linking to Rcpp

System requirements: QuantLib library (>= 1.8.0) from http://quantlib.org, Boost library from http://www.boost.org


Suggested by bizdays.


See at CRAN