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 on CRAN and can be installed from source as usual:
install.packages("RQuantLib")
Starting with release 0.4.3, binaries are provided via the ghrr drat repo and can be installed as
drat::addRepo("ghrr") # maybe use 'install.packages("drat")' first
install.packages("RQuantLib", type="binary")
Dirk Eddelbuettel, Khanh Nguyen (during 2009-2010) and Terry Leitch (since 2016)
GPL (>= 2)