[R] RQuantLib -- Interfacing QuantLib from R
edd at debian.org
Tue Feb 26 06:13:55 CET 2002
I just uploaded an initial RQuantLib package to R's site in Vienna.
RQuantLib is an R [ http://www.r-project.org ] package to access the powerful
QuantLib [ http://quantlib.org ] libraries for quantitative finance.
RQuantLib is at an early stage: I only defined two basic classes Option and
ImpliedVolatility with print and summary methods, and European and American
options on top of them. Binary Options are also available for the option
calculator. I opted for (named) lists as input and output types. These
functions are "scalar" and operate on one option at a time. One other cute
function is EuropeanOptionArrays which allows for vectors of any of the
numeric input variables, and returns an appropriate multidimensional array of
all possible valuation combinations. The example() function plots a few
The package, and well as a little more documentation, is also at
Comments, questions, feedback welcome!
Good judgement comes from experience; experience comes from bad judgement.
-- Fred Brooks
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