R Interface to the 'QuantLib' Library
![[R logo]](../../../doc/html/Rlogo.svg)
![[Up]](../../../doc/html/left.jpg)
![[Top]](../../../doc/html/up.jpg)
Documentation for package ‘RQuantLib’ version 0.4.26
- DESCRIPTION file.
- Code demos. Use demo() to run them.
- Package NEWS.
Help Pages
A B C D E F G H I M O P R S T V Y Z
-- A --
| addHolidays | Calendar functions from QuantLib |
| adjust | Calendar functions from QuantLib |
| advance | Calendar functions from QuantLib |
| advanceDate | Calendar functions from QuantLib |
| AffineSwaption | Affine swaption valuation using several short-rate models |
| AffineSwaption.default | Affine swaption valuation using several short-rate models |
| AmericanOption | American Option evaluation using Finite Differences |
| AmericanOption.default | American Option evaluation using Finite Differences |
| AmericanOptionImpliedVolatility | Implied Volatility calculation for American Option |
| AmericanOptionImpliedVolatility.default | Implied Volatility calculation for American Option |
| AsianOption | Asian Option evaluation using Closed-Form solution |
| AsianOption.default | Asian Option evaluation using Closed-Form solution |
-- B --
| BarrierOption | Barrier Option evaluation using Closed-Form solution |
| BarrierOption.default | Barrier Option evaluation using Closed-Form solution |
| BermudanSwaption | Bermudan swaption valuation using several short-rate models |
| BermudanSwaption.default | Bermudan swaption valuation using several short-rate models |
| BinaryOption | Binary Option evaluation using Closed-Form solution |
| BinaryOption.default | Binary Option evaluation using Closed-Form solution |
| BinaryOptionImpliedVolatility | Implied Volatility calculation for Binary Option |
| BinaryOptionImpliedVolatility.default | Implied Volatility calculation for Binary Option |
| Bond | Base class for Bond price evalution |
| businessDay | Calendar functions from QuantLib |
| businessDayList | Calendar functions from QuantLib |
| businessDaysBetween | Calendar functions from QuantLib |
-- C --
| calendars | Calendar functions from QuantLib |
| CallableBond | CallableBond evaluation |
| CallableBond.default | CallableBond evaluation |
| ConvertibleFixedCouponBond | Convertible Bond evaluation for Fixed, Floating and Zero Coupon |
| ConvertibleFixedCouponBond.default | Convertible Bond evaluation for Fixed, Floating and Zero Coupon |
| ConvertibleFloatingCouponBond | Convertible Bond evaluation for Fixed, Floating and Zero Coupon |
| ConvertibleFloatingCouponBond.default | Convertible Bond evaluation for Fixed, Floating and Zero Coupon |
| ConvertibleZeroCouponBond | Convertible Bond evaluation for Fixed, Floating and Zero Coupon |
| ConvertibleZeroCouponBond.default | Convertible Bond evaluation for Fixed, Floating and Zero Coupon |
-- D --
| dayCount | Calendar functions from QuantLib |
| DiscountCurve | Returns the discount curve (with zero rates and forwards) given times |
| DiscountCurve.default | Returns the discount curve (with zero rates and forwards) given times |
-- E --
| endOfMonth | Calendar functions from QuantLib |
| Enum | Documentation for parameters |
| EuropeanOption | European Option evaluation using Closed-Form solution |
| EuropeanOption.default | European Option evaluation using Closed-Form solution |
| EuropeanOptionArrays | European Option evaluation using Closed-Form solution |
| EuropeanOptionImpliedVolatility | Implied Volatility calculation for European Option |
| EuropeanOptionImpliedVolatility.default | Implied Volatility calculation for European Option |
-- F --
| FittedBondCurve | Returns the discount curve (with zero rates and forwards) given set of bonds |
| FittedBondCurve.default | Returns the discount curve (with zero rates and forwards) given set of bonds |
| FixedRateBond | Fixed-Rate bond pricing |
| FixedRateBond.default | Fixed-Rate bond pricing |
| FixedRateBondPriceByYield | Fixed-Rate bond pricing |
| FixedRateBondPriceByYield.default | Fixed-Rate bond pricing |
| FixedRateBondYield | Fixed-Rate bond pricing |
| FixedRateBondYield.default | Fixed-Rate bond pricing |
| FloatingRateBond | Floating rate bond pricing |
| FloatingRateBond.default | Floating rate bond pricing |
-- G --
| getBusinessDayList | Calendar functions from QuantLib |
| getEndOfMonth | Calendar functions from QuantLib |
| getHolidayList | Calendar functions from QuantLib |
| getQuantLibCapabilities | Return configuration options of the QuantLib library |
| getQuantLibVersion | Return the QuantLib version number |
-- H --
| holidayList | Calendar functions from QuantLib |
-- I --
| ImpliedVolatility | Base class for option-price implied volatility evalution |
| isBusinessDay | Calendar functions from QuantLib |
| isEndOfMonth | Calendar functions from QuantLib |
| isHoliday | Calendar functions from QuantLib |
| isWeekend | Calendar functions from QuantLib |
-- M --
| matchBDC | Bond parameter conversion utilities |
| matchCompounding | Bond parameter conversion utilities |
| matchDateGen | Bond parameter conversion utilities |
| matchDayCounter | Bond parameter conversion utilities |
| matchFrequency | Bond parameter conversion utilities |
| matchParams | Bond parameter conversion utilities |
-- O --
| oldEuropeanOptionArrays | European Option evaluation using Closed-Form solution |
| Option | Base class for option price evalution |
-- P --
| plot.Bond | Base class for Bond price evalution |
| plot.DiscountCurve | Returns the discount curve (with zero rates and forwards) given times |
| plot.FittedBondCurve | Returns the discount curve (with zero rates and forwards) given set of bonds |
| plot.Option | Base class for option price evalution |
| plotOptionSurface | European Option evaluation using Closed-Form solution |
| print.Bond | Base class for Bond price evalution |
| print.FixedRateBond | Base class for Bond price evalution |
| print.ImpliedVolatility | Base class for option-price implied volatility evalution |
| print.Option | Base class for option price evalution |
-- R --
| removeHolidays | Calendar functions from QuantLib |
-- S --
| SabrSwaption | SABR swaption using vol cube data with bermudan alternative using markovfunctional |
| SabrSwaption.default | SABR swaption using vol cube data with bermudan alternative using markovfunctional |
| Schedule | Schedule generation |
| Schedule.default | Schedule generation |
| setCalendarContext | Calendar functions from QuantLib |
| setEvaluationDate | Calendar functions from QuantLib |
| summary.BKTree | Bermudan swaption valuation using several short-rate models |
| summary.BKTreeAffineSwaption | Affine swaption valuation using several short-rate models |
| summary.Bond | Base class for Bond price evalution |
| summary.G2Analytic | Bermudan swaption valuation using several short-rate models |
| summary.G2AnalyticAffineSwaption | Affine swaption valuation using several short-rate models |
| summary.HWAnalytic | Bermudan swaption valuation using several short-rate models |
| summary.HWAnalyticAffineSwaption | Affine swaption valuation using several short-rate models |
| summary.HWTree | Bermudan swaption valuation using several short-rate models |
| summary.HWTreeAffineSwaption | Affine swaption valuation using several short-rate models |
| summary.ImpliedVolatility | Base class for option-price implied volatility evalution |
| summary.Option | Base class for option price evalution |
-- T --
| tsQuotes | Vol Cube Example Data Short time series examples |
-- V --
| vcube | Vol Cube Example Data |
-- Y --
| yearFraction | Calendar functions from QuantLib |
-- Z --
| ZeroCouponBond | Zero-Coupon bond pricing |
| ZeroCouponBond.default | Zero-Coupon bond pricing |
| ZeroPriceByYield | Zero-Coupon bond pricing |
| ZeroPriceByYield.default | Zero-Coupon bond pricing |
| ZeroYield | Zero-Coupon bond pricing |
| ZeroYield.default | Zero-Coupon bond pricing |