swMATH ID: 10615
Software Authors: Dirk Eddelbuettel; Khanh Nguyen
Description: 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. 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 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).
Homepage: http://cran.r-project.org/web/packages/RQuantLib/index.html
Source Code:  https://github.com/cran/RQuantLib
Dependencies: R
Related Software: Rcpp; R; Rserve; inline; CXXR; RcppArmadillo; RcppGSL; RcppClassic; RInside; MATLAB Financial Toolbox; YUIMA; sde; YieldCurve; rgl; termstrc; zoo; fBonds; Blitz++; RGCCTranslationUnit; Armadillo
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