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Rquantlib: Interfacing Quantlib from R R / Finance 2010 Presentation QuantLib RQuantLib Fixed Income Summary RQuantLib: Interfacing QuantLib from R R / Finance 2010 Presentation Dirk Eddelbuettel1 Khanh Nguyen2 1Debian Project 2UMASS at Boston R / Finance 2010 April 16 and 17, 2010 Chicago, IL, USA Eddelbuettel and Nguyen RQuantLib QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples Outline 1 QuantLib Overview Timeline Architecture Examples 2 RQuantLib Overview Key components Examples 3 Fixed Income Overview and development Examples 4 Summary Eddelbuettel and Nguyen RQuantLib The initial QuantLib release was 0.1.1 in Nov 2000 The first Debian QuantLib package was prepared in May 2001 Boost has been a QuantLib requirement since July 2004 The long awaited QuantLib 1.0.0 release appeared in Feb 2010 QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples QuantLib releases Showing the growth of QuantLib over time Growth of QuantLib code over its initial decade: From version 0.1.1 in Nov 2000 to 1.0 in Feb 2010 0.1.1 0.1.9 0.2.0 0.2.1 0.3.0 0.3.1 0.3.3 0.3.4 0.3.5 0.3.7 0.3.8 0.3.9 0.3.10 0.3.11 0.3.12 0.3.13 0.3.14 0.4.0 0.8.0 0.9.0 0.9.5 0.9.7 0.9.9 1.0 ● ● 3.60 3.5 ● 3.40 ● 3.0 ● 3.00 2.5 ● 2.10 2.0 ● ● 1.90 ● ● 1.70 ● 1.60 1.5 ● ● ● 1.50 Release size in mb Release size ● 1.40 ● ● 1.20 ● 1.10 1.0 ● 0.83 ● 0.73 ● ● 0.61 0.5 0.55 ● 0.29 ● 0.10 0.0 2002 2004 2006 2008 2010 Eddelbuettel and Nguyen RQuantLib The first Debian QuantLib package was prepared in May 2001 Boost has been a QuantLib requirement since July 2004 The long awaited QuantLib 1.0.0 release appeared in Feb 2010 QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples QuantLib releases Showing the growth of QuantLib over time Growth of QuantLib code over its initial decade: From version 0.1.1 in Nov 2000 to 1.0 in Feb 2010 The initial QuantLib 0.1.1 0.1.9 0.2.0 0.2.1 0.3.0 0.3.1 0.3.3 0.3.4 0.3.5 0.3.7 0.3.8 0.3.9 0.3.10 0.3.11 0.3.12 0.3.13 0.3.14 0.4.0 0.8.0 0.9.0 0.9.5 0.9.7 0.9.9 1.0 ● ● 3.60 release was 0.1.1 in Nov 3.5 ● 3.40 2000 ● 3.0 ● 3.00 2.5 ● 2.10 2.0 ● ● 1.90 ● ● 1.70 ● 1.60 1.5 ● ● ● 1.50 Release size in mb Release size ● 1.40 ● ● 1.20 ● 1.10 1.0 ● 0.83 ● 0.73 ● ● 0.61 0.5 0.55 ● 0.29 ● 0.10 0.0 2002 2004 2006 2008 2010 Eddelbuettel and Nguyen RQuantLib Boost has been a QuantLib requirement since July 2004 The long awaited QuantLib 1.0.0 release appeared in Feb 2010 QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples QuantLib releases Showing the growth of QuantLib over time Growth of QuantLib code over its initial decade: From version 0.1.1 in Nov 2000 to 1.0 in Feb 2010 The initial QuantLib 0.1.1 0.1.9 0.2.0 0.2.1 0.3.0 0.3.1 0.3.3 0.3.4 0.3.5 0.3.7 0.3.8 0.3.9 0.3.10 0.3.11 0.3.12 0.3.13 0.3.14 0.4.0 0.8.0 0.9.0 0.9.5 0.9.7 0.9.9 1.0 ● ● 3.60 release was 0.1.1 in Nov 3.5 ● 3.40 2000 ● 3.0 ● 3.00 The first Debian 2.5 QuantLib package was prepared in May 2001 ● 2.10 2.0 ● ● 1.90 ● ● 1.70 ● 1.60 1.5 ● ● ● 1.50 Release size in mb Release size ● 1.40 ● ● 1.20 ● 1.10 1.0 ● 0.83 ● 0.73 ● ● 0.61 0.5 0.55 ● 0.29 ● 0.10 0.0 2002 2004 2006 2008 2010 Eddelbuettel and Nguyen RQuantLib The long awaited QuantLib 1.0.0 release appeared in Feb 2010 QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples QuantLib releases Showing the growth of QuantLib over time Growth of QuantLib code over its initial decade: From version 0.1.1 in Nov 2000 to 1.0 in Feb 2010 The initial QuantLib 0.1.1 0.1.9 0.2.0 0.2.1 0.3.0 0.3.1 0.3.3 0.3.4 0.3.5 0.3.7 0.3.8 0.3.9 0.3.10 0.3.11 0.3.12 0.3.13 0.3.14 0.4.0 0.8.0 0.9.0 0.9.5 0.9.7 0.9.9 1.0 ● ● 3.60 release was 0.1.1 in Nov 3.5 ● 3.40 2000 ● 3.0 ● 3.00 The first Debian 2.5 QuantLib package was prepared in May 2001 ● 2.10 2.0 ● ● 1.90 Boost has been a ● ● 1.70 ● 1.60 1.5 ● ● ● 1.50 QuantLib requirement Release size in mb Release size ● 1.40 ● ● 1.20 ● 1.10 since July 2004 1.0 ● 0.83 ● 0.73 ● ● 0.61 0.5 0.55 ● 0.29 ● 0.10 0.0 2002 2004 2006 2008 2010 Eddelbuettel and Nguyen RQuantLib QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples QuantLib releases Showing the growth of QuantLib over time Growth of QuantLib code over its initial decade: From version 0.1.1 in Nov 2000 to 1.0 in Feb 2010 The initial QuantLib 0.1.1 0.1.9 0.2.0 0.2.1 0.3.0 0.3.1 0.3.3 0.3.4 0.3.5 0.3.7 0.3.8 0.3.9 0.3.10 0.3.11 0.3.12 0.3.13 0.3.14 0.4.0 0.8.0 0.9.0 0.9.5 0.9.7 0.9.9 1.0 ● ● 3.60 release was 0.1.1 in Nov 3.5 ● 3.40 2000 ● 3.0 ● 3.00 The first Debian 2.5 QuantLib package was prepared in May 2001 ● 2.10 2.0 ● ● 1.90 Boost has been a ● ● 1.70 ● 1.60 1.5 ● ● ● 1.50 QuantLib requirement Release size in mb Release size ● 1.40 ● ● 1.20 ● 1.10 since July 2004 1.0 ● 0.83 ● 0.73 The long awaited ● ● 0.61 0.5 0.55 QuantLib 1.0.0 release ● 0.29 ● 0.10 0.0 appeared in Feb 2010 2002 2004 2006 2008 2010 Eddelbuettel and Nguyen RQuantLib is a C++ library for financial quantitative analysts and developers. was started in 2000 and is hosted on Sourceforge.Net is a free software project under a very liberal license allowing for inclusion in commercial projects. is primarily the work of Ferdinando Ametrano and Luigi Ballabio. is sponsored by the Italian consultancy StatPro which derives consulting income from it. QuantLib ... QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples A few key points about QuantLib Number of SVN commits nando ● lballabio ● marmar ● fdv1 ● giorfa ● drjoe ● klausspanderen ● sadrejeb ● marcobianchetti ● cduminuco ● mariopucci ● markjoshi ● kmanzoni ● chiforna ● ericehlers ● enri ● andrelouw ● neilfirth ● aleppo ● sigmud ● rolandlichters ● dicesare ● plamen_neykov ● benin ● stochastix ● dzuki ● chris_kenyon ● s_frasson ● pippoj ● uid38474 ● nehal1974 ● eddelbuettel ● uid40428 ● uid37043 ● ericehlers3 ● 10^0 10^1 10^2 10^3 Eddelbuettel and Nguyen RQuantLib was started in 2000 and is hosted on Sourceforge.Net is a free software project under a very liberal license allowing for inclusion in commercial projects. is primarily the work of Ferdinando Ametrano and Luigi Ballabio. is sponsored by the Italian consultancy StatPro which derives consulting income from it. QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples A few key points about QuantLib Number of SVN commits nando ● lballabio ● marmar ● QuantLib ... fdv1 ● giorfa ● drjoe ● is a C++ library for financial quantitative klausspanderen ● sadrejeb ● analysts and developers. marcobianchetti ● cduminuco ● mariopucci ● markjoshi ● kmanzoni ● chiforna ● ericehlers ● enri ● andrelouw ● neilfirth ● aleppo ● sigmud ● rolandlichters ● dicesare ● plamen_neykov ● benin ● stochastix ● dzuki ● chris_kenyon ● s_frasson ● pippoj ● uid38474 ● nehal1974 ● eddelbuettel ● uid40428 ● uid37043 ● ericehlers3 ● 10^0 10^1 10^2 10^3 Eddelbuettel and Nguyen RQuantLib is a free software project under a very liberal license allowing for inclusion in commercial projects. is primarily the work of Ferdinando Ametrano and Luigi Ballabio. is sponsored by the Italian consultancy StatPro which derives consulting income from it. QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples A few key points about QuantLib Number of SVN commits nando ● lballabio ● marmar ● QuantLib ... fdv1 ● giorfa ● drjoe ● is a C++ library for financial quantitative klausspanderen ● sadrejeb ● analysts and developers. marcobianchetti ● cduminuco ● mariopucci ● was started in 2000 and is hosted on markjoshi ● kmanzoni ● chiforna ● Sourceforge.Net ericehlers ● enri ● andrelouw ● neilfirth ● aleppo ● sigmud ● rolandlichters ● dicesare ● plamen_neykov ● benin ● stochastix ● dzuki ● chris_kenyon ● s_frasson ● pippoj ● uid38474 ● nehal1974 ● eddelbuettel ● uid40428 ● uid37043 ● ericehlers3 ● 10^0 10^1 10^2 10^3 Eddelbuettel and Nguyen RQuantLib is primarily the work of Ferdinando Ametrano and Luigi Ballabio. is sponsored by the Italian consultancy StatPro which derives consulting income from it. QuantLib RQuantLib Fixed Income Summary Overview Architecture Examples A few key points about QuantLib Number of SVN commits nando ● lballabio ● marmar ● QuantLib ... fdv1 ● giorfa ● drjoe ● is a C++ library for financial quantitative klausspanderen ● sadrejeb ● analysts and developers. marcobianchetti ● cduminuco ● mariopucci ● was started in 2000 and is hosted on markjoshi ● kmanzoni ● chiforna ● Sourceforge.Net ericehlers ● enri ● andrelouw ● is a free software project under a very neilfirth ● aleppo ● liberal license allowing for inclusion in sigmud ● rolandlichters ● dicesare ● commercial projects.
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