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
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
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).