The RQuantLib package makes selected parts of QuantLib visible to the R user. Currently some basic option pricing functions are included, as well as fixed-income functions that can be used for interest rate curve construction and Bermuda swaption pricing. 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.
|Dirk Eddelbuettel||Guillaume Horel|