The RQuantLib package makes selected parts of QuantLib visible to the R user. Currently some basic option pricing functions are included, as well as fixed-income functions that can be used for interest rate curve construction and Bermuda swaption pricing. 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 use 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).
| Version: | 0.2.10 |
| Depends: | R (≥ 2.7.0), Rcpp (≥ 0.6.1) |
| Date: | $Date: 2008-11-28 15:48:41 -0600 (Fri, 28 Nov 2008) $ |
| Author: | Dirk Eddelbuettel with contributions from Dominick Samperi |
| Maintainer: | Dirk Eddelbuettel <edd at debian.org> |
| License: | GPL (≥ 2) |
| URL: | http://quantlib.org http://dirk.eddelbuettel.com/code/rquantlib.html |
| SystemRequirements: | QuantLib library (>= 0.9.7) from http://quantlib.org, Boost library (>= 1.34.0) from http://www.boost.org |
| In views: | Finance |
| CRAN checks: | RQuantLib results |
Downloads:
| Package source: | RQuantLib_0.2.10.tar.gz |
| MacOS X binary: | not available, see check log. |
| Windows binary: | RQuantLib_0.2.10.zip |
| Reference manual: | RQuantLib.pdf |
| News/ChangeLog: | ChangeLog |
| Old sources: | RQuantLib archive |