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 actively maintained, and is still being extended. Contributions are welcome, and initial discussions via GitHub issue tickets are encouraged as suggested in the Contributing guide.
The package is always tested against the most recent version of QuantLib itself, and it generally updated (should a change be needed) when QuantLib releases updates.
The package is on CRAN and can be installed as usual:
install.packages("RQuantLib")Windows binary packages are available via CRAN thanks to the work by Joshua Ulrich and Jeroen Ooms providing a QuantLib binary for the CRAN builders. Similarly, binaries for macOS can be provided when a suitable macOS library of QuantLib is prepared, possibly via s-u/recipes. If and when these binary libraries may be outdated, please raise the issue on the rquantlib mailing list.
For more OS-specific installation options, please see the wiki.
Come to the friendly and low-volume rquantlib mailing list for help.
The RcppQuantuccia project is closely related—take a look!
Dirk Eddelbuettel, Khanh Nguyen (during 2009-2010) and Terry Leitch (since 2016)
GPL (>= 2)