Package: RQuantLib 0.4.22

RQuantLib: 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.

Authors:Dirk Eddelbuettel, Khanh Nguyen, Terry Leitch

RQuantLib_0.4.22.tar.gz
RQuantLib_0.4.22.zip(r-4.5)RQuantLib_0.4.22.zip(r-4.4)RQuantLib_0.4.22.zip(r-4.3)
RQuantLib_0.4.22.tgz(r-4.4-arm64)RQuantLib_0.4.22.tgz(r-4.4-x86_64)RQuantLib_0.4.22.tgz(r-4.3-arm64)RQuantLib_0.4.22.tgz(r-4.3-x86_64)
RQuantLib_0.4.22.tar.gz(r-4.4-noble)
RQuantLib.pdf |RQuantLib.html✨
RQuantLib/json (API)
NEWS

# Install RQuantLib in R:

install.packages('RQuantLib', repos = c('https://eddelbuettel.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/eddelbuettel/rquantlib/issues

Uses libs:

quantlib– Quantitative Finance Library
c++– GNU Standard C++ Library v3

Datasets:

tsQuotes - Vol Cube Example Data Short time series examples
vcube - Vol Cube Example Data

On CRAN:

cpp quantlib

58 exports 117 stars 4.72 score 3 dependencies

Last updated 24 days agofrom:442bb62a288871433f5786087539493481635054

Exports:addHolidays adjust advance advanceDate AffineSwaption AmericanOption AmericanOptionImpliedVolatility AsianOption BarrierOption BermudanSwaption BinaryOption BinaryOptionImpliedVolatility businessDay businessDayList businessDaysBetween calendars CallableBond ConvertibleFixedCouponBond ConvertibleFloatingCouponBond ConvertibleZeroCouponBond dayCount DiscountCurve endOfMonth EuropeanOption EuropeanOptionArrays EuropeanOptionImpliedVolatility FittedBondCurve FixedRateBond FixedRateBondPriceByYield FixedRateBondYield FloatingRateBond getBusinessDayList getEndOfMonth getHolidayList getQuantLibCapabilities getQuantLibVersion holidayList isBusinessDay isEndOfMonth isHoliday isWeekend matchParams oldEuropeanOptionArrays plot.DiscountCurve plotOptionSurface removeHolidays SabrSwaption Schedule setCalendarContext setEvaluationDate summary.BKTree summary.G2Analytic summary.HWAnalytic summary.HWTree yearFraction ZeroCouponBond ZeroPriceByYield ZeroYield

Dependencies:lattice Rcpp zoo

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Affine swaption valuation using several short-rate models	AffineSwaption AffineSwaption.default summary.BKTreeAffineSwaption summary.G2AnalyticAffineSwaption summary.HWAnalyticAffineSwaption summary.HWTreeAffineSwaption
American Option evaluation using Finite Differences	AmericanOption AmericanOption.default
Implied Volatility calculation for American Option	AmericanOptionImpliedVolatility AmericanOptionImpliedVolatility.default
Asian Option evaluation using Closed-Form solution	AsianOption AsianOption.default
Barrier Option evaluation using Closed-Form solution	BarrierOption BarrierOption.default
Bermudan swaption valuation using several short-rate models	BermudanSwaption BermudanSwaption.default summary.BKTree summary.G2Analytic summary.HWAnalytic summary.HWTree
Binary Option evaluation using Closed-Form solution	BinaryOption BinaryOption.default
Implied Volatility calculation for Binary Option	BinaryOptionImpliedVolatility BinaryOptionImpliedVolatility.default
Base class for Bond price evalution	Bond plot.Bond print.Bond print.FixedRateBond summary.Bond
Bond parameter conversion utilities	matchBDC matchCompounding matchDateGen matchDayCounter matchFrequency matchParams
Calendar functions from QuantLib	addHolidays adjust advance advanceDate businessDay businessDayList businessDaysBetween calendars dayCount endOfMonth getBusinessDayList getEndOfMonth getHolidayList holidayList isBusinessDay isEndOfMonth isHoliday isWeekend removeHolidays setCalendarContext setEvaluationDate yearFraction
CallableBond evaluation	CallableBond CallableBond.default
Convertible Bond evaluation for Fixed, Floating and Zero Coupon	ConvertibleFixedCouponBond ConvertibleFixedCouponBond.default ConvertibleFloatingCouponBond ConvertibleFloatingCouponBond.default ConvertibleZeroCouponBond ConvertibleZeroCouponBond.default
Returns the discount curve (with zero rates and forwards) given times	DiscountCurve DiscountCurve.default plot.DiscountCurve
Documentation for parameters	Enum
European Option evaluation using Closed-Form solution	EuropeanOption EuropeanOption.default
European Option evaluation using Closed-Form solution	EuropeanOptionArrays oldEuropeanOptionArrays plotOptionSurface
Implied Volatility calculation for European Option	EuropeanOptionImpliedVolatility EuropeanOptionImpliedVolatility.default
Returns the discount curve (with zero rates and forwards) given set of bonds	FittedBondCurve FittedBondCurve.default plot.FittedBondCurve
Fixed-Rate bond pricing	FixedRateBond FixedRateBond.default FixedRateBondPriceByYield FixedRateBondPriceByYield.default FixedRateBondYield FixedRateBondYield.default
Floating rate bond pricing	FloatingRateBond FloatingRateBond.default
Return configuration options of the QuantLib library	getQuantLibCapabilities
Return the QuantLib version number	getQuantLibVersion
Base class for option-price implied volatility evalution	ImpliedVolatility print.ImpliedVolatility summary.ImpliedVolatility
Base class for option price evalution	Option plot.Option print.Option summary.Option
SABR swaption using vol cube data with bermudan alternative using markovfunctional	SabrSwaption SabrSwaption.default
Schedule generation	Schedule Schedule.default
Vol Cube Example Data Short time series examples	tsQuotes
Vol Cube Example Data	vcube
Zero-Coupon bond pricing	ZeroCouponBond ZeroCouponBond.default ZeroPriceByYield ZeroPriceByYield.default ZeroYield ZeroYield.default