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 on CRAN and can be installed from source as usual:
Starting with release 0.4.3, binaries may be provided via the ghrr drat repo and can be installed as
drat::addRepo("ghrr") # maybe use 'install.packages("drat")' first install.packages("RQuantLib", type="binary")
Dirk Eddelbuettel, Khanh Nguyen (during 2009-2010) and Terry Leitch (since 2016)
GPL (>= 2)