eddelbuettel/rquantlib-testing repository overview

⁠RQuantLib

⁠About

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.

⁠Status

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.

⁠Installation

⁠From Source

The package is on CRAN⁠ and can be installed as usual:

install.packages("RQuantLib")

Windows binary packages should be available.

For more OS-specific installation options, please see the wiki⁠.

⁠Authors

Dirk Eddelbuettel, Khanh Nguyen (during 2009-2010) and Terry Leitch (since 2016)

⁠License

GPL (>= 2)