Package: RQuantLib 0.4.24
RQuantLib: R Interface to the 'QuantLib' Library
The 'RQuantLib' package makes parts of 'QuantLib' accessible from R 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.
Authors:
RQuantLib_0.4.24.tar.gz
RQuantLib_0.4.24.tar.gz(r-4.5-noble)RQuantLib_0.4.24.tar.gz(r-4.4-noble)
RQuantLib.pdf |RQuantLib.html✨
RQuantLib/json (API)
NEWS
# Install 'RQuantLib' in R: |
install.packages('RQuantLib', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/eddelbuettel/rquantlib/issues
Last updated 1 months agofrom:005fd63eef. Checks:OK: 2. Indexed: no.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Aug 31 2024 |
R-4.5-linux-x86_64 | OK | Aug 31 2024 |
Exports:addHolidaysadjustadvanceadvanceDateAffineSwaptionAmericanOptionAmericanOptionImpliedVolatilityAsianOptionBarrierOptionBermudanSwaptionBinaryOptionBinaryOptionImpliedVolatilitybusinessDaybusinessDayListbusinessDaysBetweencalendarsCallableBondConvertibleFixedCouponBondConvertibleFloatingCouponBondConvertibleZeroCouponBonddayCountDiscountCurveendOfMonthEuropeanOptionEuropeanOptionArraysEuropeanOptionImpliedVolatilityFittedBondCurveFixedRateBondFixedRateBondPriceByYieldFixedRateBondYieldFloatingRateBondgetBusinessDayListgetEndOfMonthgetHolidayListgetQuantLibCapabilitiesgetQuantLibVersionholidayListisBusinessDayisEndOfMonthisHolidayisWeekendmatchParamsoldEuropeanOptionArraysplot.DiscountCurveplotOptionSurfaceremoveHolidaysSabrSwaptionSchedulesetCalendarContextsetEvaluationDatesummary.BKTreesummary.G2Analyticsummary.HWAnalyticsummary.HWTreeyearFractionZeroCouponBondZeroPriceByYieldZeroYield
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Affine swaption valuation using several short-rate models | AffineSwaption AffineSwaption.default summary.BKTreeAffineSwaption summary.G2AnalyticAffineSwaption summary.HWAnalyticAffineSwaption summary.HWTreeAffineSwaption |
American Option evaluation using Finite Differences | AmericanOption AmericanOption.default |
Implied Volatility calculation for American Option | AmericanOptionImpliedVolatility AmericanOptionImpliedVolatility.default |
Asian Option evaluation using Closed-Form solution | AsianOption AsianOption.default |
Barrier Option evaluation using Closed-Form solution | BarrierOption BarrierOption.default |
Bermudan swaption valuation using several short-rate models | BermudanSwaption BermudanSwaption.default summary.BKTree summary.G2Analytic summary.HWAnalytic summary.HWTree |
Binary Option evaluation using Closed-Form solution | BinaryOption BinaryOption.default |
Implied Volatility calculation for Binary Option | BinaryOptionImpliedVolatility BinaryOptionImpliedVolatility.default |
Base class for Bond price evalution | Bond plot.Bond print.Bond print.FixedRateBond summary.Bond |
Bond parameter conversion utilities | matchBDC matchCompounding matchDateGen matchDayCounter matchFrequency matchParams |
Calendar functions from QuantLib | addHolidays adjust advance advanceDate businessDay businessDayList businessDaysBetween calendars dayCount endOfMonth getBusinessDayList getEndOfMonth getHolidayList holidayList isBusinessDay isEndOfMonth isHoliday isWeekend removeHolidays setCalendarContext setEvaluationDate yearFraction |
CallableBond evaluation | CallableBond CallableBond.default |
Convertible Bond evaluation for Fixed, Floating and Zero Coupon | ConvertibleFixedCouponBond ConvertibleFixedCouponBond.default ConvertibleFloatingCouponBond ConvertibleFloatingCouponBond.default ConvertibleZeroCouponBond ConvertibleZeroCouponBond.default |
Returns the discount curve (with zero rates and forwards) given times | DiscountCurve DiscountCurve.default plot.DiscountCurve |
Documentation for parameters | Enum |
European Option evaluation using Closed-Form solution | EuropeanOption EuropeanOption.default |
European Option evaluation using Closed-Form solution | EuropeanOptionArrays oldEuropeanOptionArrays plotOptionSurface |
Implied Volatility calculation for European Option | EuropeanOptionImpliedVolatility EuropeanOptionImpliedVolatility.default |
Returns the discount curve (with zero rates and forwards) given set of bonds | FittedBondCurve FittedBondCurve.default plot.FittedBondCurve |
Fixed-Rate bond pricing | FixedRateBond FixedRateBond.default FixedRateBondPriceByYield FixedRateBondPriceByYield.default FixedRateBondYield FixedRateBondYield.default |
Floating rate bond pricing | FloatingRateBond FloatingRateBond.default |
Return configuration options of the QuantLib library | getQuantLibCapabilities |
Return the QuantLib version number | getQuantLibVersion |
Base class for option-price implied volatility evalution | ImpliedVolatility print.ImpliedVolatility summary.ImpliedVolatility |
Base class for option price evalution | Option plot.Option print.Option summary.Option |
SABR swaption using vol cube data with bermudan alternative using markovfunctional | SabrSwaption SabrSwaption.default |
Schedule generation | Schedule Schedule.default |
Vol Cube Example Data Short time series examples | tsQuotes |
Vol Cube Example Data | vcube |
Zero-Coupon bond pricing | ZeroCouponBond ZeroCouponBond.default ZeroPriceByYield ZeroPriceByYield.default ZeroYield ZeroYield.default |