RQuantLib: R interface to the QuantLib library

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, as well a 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 Windows binary version is self-contained and does not require a QuantLib (or Boost) installation. RQuantLib uses 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: 0.3.2
Depends: R (≥ 2.7.0), Rcpp (≥ 0.7.0)
Published: 2010-01-15
Author: Dirk Eddelbuettel and Khanh Nguyen
Maintainer: Dirk Eddelbuettel <edd at debian.org>
License: GPL (≥ 2)
URL: http://quantlib.org http://dirk.eddelbuettel.com/code/rquantlib.html
SystemRequirements: QuantLib library (>= 0.9.9) 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_0.3.2.tar.gz
MacOS X binary: not available, see check log.
Windows binary: RQuantLib_0.3.2.zip
Reference manual: RQuantLib.pdf
News/ChangeLog:ChangeLog
Old sources: RQuantLib archive