A new release (now at version 0.3.3) of RQuantLib
is now on CRAN and
combines (some of) the quantitative analytics of
QuantLib with the
R statistical computing environment and language.
Many of the changes in this new version are internal. The code was re-written using the new
Rcpp API throughout, and the build system was
further simplified using the LinkingTo: mechanism. The arithmetic average-price asian option pricer
was added. A few other code updates were made as well.
Full changelog details, examples and more details about this package are at
my RQuantLib page.