November 23, 2009

(This article was first published on Quantitative Finance Collector, and kindly contributed to R-bloggers)

Quantlib is a free library for modeling, trading, and risk management in real-life providing a comprehensive software framework for quantitative finance, it is written in C++, which might be inconvenient for some users. JQuantLib aiming at Java-fans is naturally developed, correspondently, RQuantlib connects GNU R software with QuantLib.

The installation is straintforward, I tried it on my Windows, the source code is at http://cran.r-project.org/web/packages/RQuantLib/index.html, which is self-contained and does not even require a QuantLib (or Boost) installation. Nothing more to say, following the process, users are able to use the library immediately.

So far the function and option types supported by RQuantlib are limited, vanilla and a few popular exotic options, for example, American option, Asian option, Barrier, Bermudan, Binary option, as well as a range of fixed-income functions, mainly on Convertible bond valuation. Hopefully it will grow quickly.

Detailed reference manual is also available at http://cran.r-project.org/web/packages/RQuantLib/index.html.
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