Package: RQuantLib 0.4.27
Dirk Eddelbuettel
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_0.4.27.tar.gz
RQuantLib_0.4.27.tar.gz(r-4.7-arm64)RQuantLib_0.4.27.tar.gz(r-4.7-x86_64)RQuantLib_0.4.27.tar.gz(r-4.6-arm64)RQuantLib_0.4.27.tar.gz(r-4.6-x86_64)
manual.pdf |manual.html✨
card.svg |card.png
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 from:1d248899c5. Checks:5 OK, 1 FAIL. Indexed: no.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 530 | ||
| linux-devel-x86_64 | OK | 505 | ||
| source / vignettes | OK | 465 | ||
| linux-release-arm64 | OK | 499 | ||
| linux-release-x86_64 | OK | 487 | ||
| wasm-release | FAIL | 128 |
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 |
