R and QuantLib Libraries for Quantitative Finance

Summary

The document introduces resources for finding R packages used in quantitative finance, naming the CRAN Finance task view and packages such as FinancialInstrument, RTAQ, blotter, and quantstrat. It poses practical questions about package choice, alternatives, and production use, but does not provide answers about those R packages.

The substantive reply recommends QuantLib, a C++ framework for quantitative finance, and describes its scope as modeling, trading, and risk management. It notes that language bindings and spreadsheet integrations make the library accessible beyond C++. The discussion is only a brief overview: it gives no package comparisons, implementation examples, or evidence about production suitability, so readers would need further sources to evaluate specific tools.

Key ideas

• The CRAN Finance task view is presented as a directory of R packages related to finance.
• FinancialInstrument, RTAQ, blotter, and quantstrat are listed as additional R finance packages.
• QuantLib is described as an open-source C++ framework for modeling, trading, and risk management.
• QuantLib offers interfaces to multiple programming languages and spreadsheet applications.

Tags

# Popular R packages for Quantitative Finance


# Popular R packages for Quantitative Finance












Which R packages (in this list or not) do you use in quant finance, why not an alternative, do you use it in production and if so, how?

There is a list of most of the R packages related to Finance by Dirk Eddelbuettel:

http://cran.r-project.org/web/views/Finance.html

In addition:

- FinancialInstrument

- RTAQ

- blotter

- quantstrat

## Answer by RiskTech (score 2)

https://quant.stackexchange.com/a/14311

I like Quantlib

http://quantlib.org/index.shtml

http://cran.r-project.org/web/packages/RQuantLib/index.html

The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life.

QuantLib is written in C++ with a clean object model, and is then exported to different languages such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme. The QuantLibAddin/QuantLibXL project uses ObjectHandler to export an object-oriented QuantLib interface to a variety of end-user platforms including Microsoft Excel and OpenOffice.org Calc. Bindings to other languages and porting to Gnumeric, Matlab/Octave, S-PLUS/R, Mathematica, COM/CORBA/SOAP architectures, FpML, are under consideration.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.