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https://github.com/eddelbuettel/rquantlib
R interface to the QuantLib library
https://github.com/eddelbuettel/rquantlib
cpp cran quantlib r r-package
Last synced: 11 days ago
JSON representation
R interface to the QuantLib library
- Host: GitHub
- URL: https://github.com/eddelbuettel/rquantlib
- Owner: eddelbuettel
- Created: 2014-01-27T01:46:59.000Z (almost 11 years ago)
- Default Branch: master
- Last Pushed: 2024-08-07T19:47:18.000Z (3 months ago)
- Last Synced: 2024-10-12T21:26:16.334Z (29 days ago)
- Topics: cpp, cran, quantlib, r, r-package
- Language: C++
- Homepage:
- Size: 1.66 MB
- Stars: 118
- Watchers: 29
- Forks: 50
- Open Issues: 11
-
Metadata Files:
- Readme: README.md
- Changelog: ChangeLog
- Contributing: Contributing.md
Awesome Lists containing this project
- awesome-quant - RQuantLib - RQuantLib connects GNU R with QuantLib. (R / Financial Instruments and Pricing)
README
## RQuantLib: R Interface to the [QuantLib](https://www.quantlib.org) Library
[](https://github.com/eddelbuettel/rquantlib/actions?query=workflow%3Aci)
[](http://www.gnu.org/licenses/gpl-2.0.html)
[](https://cran.r-project.org/package=RQuantLib)
[](https://eddelbuettel.r-universe.dev/RQuantLib)
[](https://packages.debian.org/sid/r-cran-rquantlib)
[](https://cran.r-project.org/package=RQuantLib)
[](https://www.r-pkg.org:443/pkg/RQuantLib)
[](https://github.com/eddelbuettel/rquantlib)
### About
The RQuantLib package makes parts of
[QuantLib](https://github.com/lballabio/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](https://github.com/eddelbuettel/rquantlib/issues)
are encouraged as suggested in the
[Contributing guide](https://github.com/eddelbuettel/rquantlib/blob/master/Contributing.md).
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.
### Installation
#### From Source
The package is on [CRAN](https://cran.r-project.org) and can be installed as usual:
```{r}
install.packages("RQuantLib")
```
Windows binary packages are available via [CRAN](https://cran.r-project.org) thanks to the work by
[Joshua Ulrich](https://about.me/joshuaulrich) and [Jeroen Ooms](https://github.com/jeroen)
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](https://github.com/R-macos/recipes). If and when these binary libraries may be outdated,
please raise the issue on the [rquantlib mailing list](http://rquantlib.groups.io).
For more OS-specific installation options, please see [the wiki](https://github.com/eddelbuettel/rquantlib/wiki/RQuantLib).
### Support
Come to the friendly and low-volume [rquantlib mailing list](http://rquantlib.groups.io) for help.
### See Also
The [qlcal](https://github.com/qlcal/qlcal-r) R package provides the calendaring functionality of
[QuantLib](https://github.com/lballabio/quantlib) in a standalone R package that does not require
[QuantLib](https://github.com/lballabio/quantlib).
### Authors
Dirk Eddelbuettel, Khanh Nguyen (during 2009-2010) and Terry Leitch (since 2016)
### License
GPL (>= 2)