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).

Version: 0.3.12
Depends: R (≥ 2.10.0)
Imports: methods, Rcpp (≥ 0.11.0)
LinkingTo: Rcpp
Suggests: rgl, zoo, RUnit
Published: 2014-03-09
Author: Dirk Eddelbuettel and Khanh Nguyen
Maintainer: Dirk Eddelbuettel <edd at debian.org>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: http://quantlib.org http://dirk.eddelbuettel.com/code/rquantlib.html
NeedsCompilation: yes
SystemRequirements: QuantLib library (>= 0.9.9) from http://quantlib.org, Boost library from http://www.boost.org
Materials: README ChangeLog
In views: Finance
CRAN checks: RQuantLib results

Downloads:

Reference manual: RQuantLib.pdf
Package source: RQuantLib_0.3.12.tar.gz
OS X binary: RQuantLib_0.3.12.tgz
Windows binary: RQuantLib_0.3.12.zip
Old sources: RQuantLib archive