R: R Interface to the 'QuantLib' Library

# R Interface to the 'QuantLib' Library

## 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