RQuantLib: R interface to the QuantLib library

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: 0.2.11
Depends: R (≥ 2.7.0), Rcpp (≥ 0.6.4)
Published: 2009-03-04
Author: Dirk Eddelbuettel
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_0.2.11.tar.gz
MacOS X binary: not available, see check log.
Windows binary: RQuantLib_0.2.11.zip
Reference manual: RQuantLib.pdf
News/ChangeLog:ChangeLog
Old sources: RQuantLib archive