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. This version of RQuantLib for Windows was built using QuantLib 0.8.1 and Boost 1.34.0. Parts of RQuantLib use the Rcpp R/C++ interface class library. See the RcppTemplate package on CRAN 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: | 0.2.9 |
| Depends: | R (≥ 2.5.0) |
| Date: | $Date: 2008-08-08 09:52:49 -0500 (Fri, 08 Aug 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 (>= 0.9.0) 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_0.2.9.tar.gz |
| MacOS X binary: | not available, see check log. |
| Windows binary: | not available, see ReadMe and check log. |
| Reference manual: | RQuantLib.pdf |
| News/ChangeLog: | ChangeLog |
| Old sources: | RQuantLib archive |