R Interface to the 'QuantLib' Library
Affine swaption valuation using several short-rate models
American Option evaluation using Finite Differences
Implied Volatility calculation for American Option
Asian Option evaluation using Closed-Form solution
Barrier Option evaluation using Closed-Form solution
Bermudan swaption valuation using several short-rate models
Binary Option evaluation using Closed-Form solution
Implied Volatility calculation for Binary Option
Base class for Bond price evalution
Bond parameter conversion utilities
Calendar functions from QuantLib
CallableBond evaluation
Convertible Bond evaluation for Fixed, Floating and Zero Coupon
Returns the discount curve (with zero rates and forwards) given times
Documentation for parameters
European Option evaluation using Closed-Form solution
European Option evaluation using Closed-Form solution
Implied Volatility calculation for European Option
SABR swaption using vol cube data with bermudan alternative using mark...
Returns the discount curve (with zero rates and forwards) given set of...
Fixed-Rate bond pricing
Floating rate bond pricing
Return configuration options of the QuantLib library
Return the QuantLib version number
Base class for option-price implied volatility evalution
Base class for option price evalution
Schedule generation
Zero-Coupon bond pricing
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.
Useful links