[Rd] [SoC09-Idea] RQuantLib

Dirk Eddelbuettel
Wed, 11 Mar 2009 02:06:23 -0000

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.