RQuantLib 0.4 example

R version 3.1
dependencies ‘Rcpp’, ‘rgl’, ‘zoo’, ‘RUnit’
Rcpp_0.11.5
rgl_0.93.1098
zoo_1.7-12
RUnit_0.4.28
RQuantLib_0.4

bond1.R  Select all

#Simple call with a flat curve require(RQuantLib) bond <- list(faceAmount=100, settlementDays=1, issueDate=as.Date("2014-11-30"), redemption=100)
scheduleparams <- list(effectiveDate=as.Date("2014-11-30"), maturityDate=as.Date("2018-11-30"), period=2, calendar="UnitedStates", businessDayConvention = 4, terminationDateConvention=4, dateGeneration=1, endOfMonth=1, dayCounter = 'Thirty360')
coupon.rate <- c(0.02875)
params <- list(tradeDate=as.Date('2014-2-15'), settleDate=as.Date('2014-2-19'), dt=.25, interpWhat="discount", interpHow="loglinear")
setEvaluationDate(as.Date("2014-11-22"))
discountCurve.flat <- DiscountCurve(params, list(flat=0.05))
FixedRateBond(bond=bond, rates=coupon.rate, schedule=scheduleparams, calc=list(dayCounter='ActualActual.ISMA',compounding='Compounded', freq='Annual', durationType='Modified'),discountCurve=discountCurve.flat)

FixedRateBondPriceByYield( settlementDays=1, yield=0.05127, faceAmount=100, effectiveDate=as.Date("2014-11-30"), maturityDate=as.Date("2018-11-30"), period=2, calendar="UnitedStates", rates=c(0.05), dayCounter=2, businessDayConvention=4, compound=0, redemption=100, issueDate=as.Date("2014-11-30"))

FixedRateBondYield( settlementDays=1, price=99.54593, faceAmount=100, effectiveDate=as.Date("2014-11-30"), maturityDate=as.Date("2018-11-30"), period=2, calendar="UnitedStates", rates=c(0.05), dayCounter=2, businessDayConvention=4, compound=0, redemption=100, issueDate=as.Date("2014-11-30"))

calendar -> http://quantlib.org/reference/group__calendars.html
businessDayConvention -> http://quantlib.org/reference/group__datetime.html#gaff46c5ae9385d20709bedade86edd368
dayCounter -> http://quantlib.org/reference/group__daycounters.html
compounding -> http://quantlib.org/reference/namespace_quant_lib.html#a2779d04b4839fd386b5c85bbb96aaf73
freq -> http://quantlib.org/reference/group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada
duration -> http://quantlib.org/reference/struct_quant_lib_1_1_duration.html


Bond Utilities
matchBDC(bdc = c("Following", "ModifiedFollowing", "Preceding", "ModifiedPreceding", "Unadjusted"))
matchCompounding(cp = c("Simple", "Compounded", "Continuous", "SimpleThenCompounded"))
matchDayCounter(daycounter = c("Actual360", "ActualFixed", "ActualActual", "Business252", "OneDayCounter", "SimpleDayCounter", "Thirty360", "Actual365NoLeap", "ActualActual.ISMA", "ActualActual.Bond", "ActualActual.ISDA", "ActualActual.Historical", "ActualActual.AFB", "ActualActual.Euro"))
matchDateGen(dg = c("Backward", "Forward", "Zero", "ThirdWednesday", "Twentieth", "TwentiethIMM"))
matchFrequency(freq = c("NoFrequency","Once", "Annual", "Semiannual", "EveryFourthMonth", "Quarterly", "Bimonthly", "EveryFourthWeek", "Biweekly", "Weekly", "Daily"))

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For Mac OSX, only 0.3.12 is available and quantlib-config should in in your path and executable

/usr/local/bin/quantlib-config  Select all

#!/bin/sh prefix=/usr/local exec_prefix=${prefix} exec_prefix_set=no usage="\ Usage: quantlib-config [--prefix[=DIR]] [--exec-prefix[=DIR]] [--version] [--libs] [--cflags]" if test $# -eq 0; then echo "${usage}" 1>&2 exit 1 fi while test $# -gt 0; do case "$1" in -*=*) optarg=`echo "$1" | sed 's/[-_a-zA-Z0-9]*=//'` ;; *) optarg= ;; esac case $1 in --prefix=*) prefix=$optarg if test $exec_prefix_set = no ; then exec_prefix=$optarg fi ;; --prefix) echo $prefix ;; --exec-prefix=*) exec_prefix=$optarg exec_prefix_set=yes ;; --exec-prefix) echo $exec_prefix ;; --version) echo 1.4.1 ;; --cflags) echo -I${prefix}/include -I/usr/local/include ;; --libs) echo -L${exec_prefix}/lib -L/usr/local/lib -lQuantLib ;; *) echo "${usage}" 1>&2 exit 1 ;; esac shift done