RQuantLib -- Bridging R and QuantLib
Mentor: Dirk Eddelbuettel
Summary: The goal of this Summer of Code project is to
a) extend the coverage of QuantLib [1] code available to R by adding more
wrapper functions to RQuantLib [2], and to
b) provide additional functionality to QuantLib by leveraging the numerous
statistical facilities in R -- this could be anything from standard to
robust estimation methods, data visualization or report creation via
tools like Sweave.
Required skills: Good R and C++ programming skills. At least some familiarity
with basic open source tools like svn, make, ... is beneficial as
well. Some understanding of financial economics may be helpful but is not
required.
Description: QuantLib, the premier free/open-source library for modeling,
trading, and risk management, provides a comprehensive software framework
for quantitative finance. QuantLib has been developed since Nov 2000 and
is now approaching an initial 1.0 release at which point the API will be
frozen. This makes it a good point in time to start building more code on
top of the API.
RQuantLib, first released in 2002 as a proof-of-concept, provides a subset
of the available QuantLib functonality. Many more asset classed and
methods are now available.
This Summer of Code project provides ample scope for a student to first
learn about possible extensions to RQuantLib, to learn about interfaces
from R to underlying libraries and back, and to then design, architect and
implement some meaningful extension.
Programming exercise: Take the current RQuantLib package and provide a new
function that exposes functionality from QuantLib to R, preferably with a
tests/ file and a help file.
References:
[1] http://www.quantlib.org
[2] http://cran.r-project.org/web/packages/RQuantLib/index.html as well as
http://r-forge.r-project.org/projects/rquantlib/ as well as
http://dirk.eddelbuettel.com/code/rquantlib.html
--
Three out of two people have difficulties with fractions.