In this article, we will see how to install RQuantLib(R interface to QuantLib Library) on Linux. RQuantLib is a software package that integrates the QuantLib library into the R programming environment. It is a free/open-source library for modeling, trading, and risk management in real-life. It's primarily used in quantitative finance for the modeling and pricing of financial instruments such as bonds, options, and interest rate structures.
RQuantLib harnesses the capabilities of QuantLib and makes them accessible in R, a popular language and environment for statistical computing and graphics. This integration provides financial analysts and researchers with tools to perform complex financial computations and analyses directly within R.
Key Features
- Pricing of Various Financial Instruments: It allows pricing of different types of financial instruments such as bonds, options (European, American, Bermudan), and other derivatives.
- Yield Curve Modeling: RQuantLib includes functions to construct and manipulate yield curves, essential for interest rate modeling and fixed income valuation.
- Option Pricing Models: The package includes several models for option pricing, such as Black-Scholes and binomial models, enabling users to value a variety of option types under different scenarios.
- Date Calculations: RQuantLib provides a range of functions for date calculations, which are critical in financial modeling for computing maturity dates, coupon dates, and other schedule-related calculations.
- Risk Management Tools: It includes tools for measuring and managing financial risks, such as value-at-risk (VaR) calculations.
How to Install RQuantLib(R Interface to QuantLib Library) on Linux
Also Read: How to Install QuantLib on Linux
Step 1: Prerequisites
a) You should have a running Linux Server.
b) You should have sudo or root access to run privileged commands.
c) You should have Rterm installed in your Server. You may want to check How to Install Rterm (R terminal) on Ubuntu or Debian.
d) You should have QuantLib installed in your Server.
Step 2: Update Your Server
To keep your system secure and stable, it is always recommended to have the latest updates installed in your Server. If you are using Ubuntu/Debian based system then you can install by using sudo apt update && sudo apt upgrade command as shown below.
sudo apt update && sudo apt upgrade
If you are using RHEL/Fedora based servers then you can use either sudo yum update && sudo yum upgrade or sudo dnf update && sudo dnf upgrade command as shown below.
sudo yum update && sudo yum upgrade sudo dnf update && sudo dnf upgrade
Step 3: Install RQuantLib
To install RQuantLib package, you have to launch Rterm first by using sudo R command. Then use install.packages("RQuantLib") command to install RQuantLib package as shown below.
itsfosslinux@ubuntu:~$ sudo R [sudo] password for itsfosslinux: R version 3.6.3 (2020-02-29) -- "Holding the Windsock" Copyright (C) 2020 The R Foundation for Statistical Computing Platform: x86_64-pc-linux-gnu (64-bit) R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. Type 'license()' or 'licence()' for distribution details. Natural language support but running in an English locale R is a collaborative project with many contributors. Type 'contributors()' for more information and 'citation()' on how to cite R or R packages in publications. Type 'demo()' for some demos, 'help()' for on-line help, or 'help.start()' for an HTML browser interface to help. Type 'q()' to quit R. > install.packages("RQuantLib") Installing package into ‘/usr/local/lib/R/site-library’ (as ‘lib’ is unspecified) trying URL 'https://cloud.r-project.org/src/contrib/RQuantLib_0.4.20.tar.gz' Content type 'application/x-gzip' length 194779 bytes (190 KB) ================================================== downloaded 190 KB * installing *source* package ‘RQuantLib’ ... ** package ‘RQuantLib’ successfully unpacked and MD5 sums checked ** using staged installation checking whether the C++ compiler works... yes checking for C++ compiler default output file name... a.out checking for suffix of executables... checking whether we are cross compiling... no checking for suffix of object files... o checking whether the compiler supports GNU C++... yes checking whether g++ -std=gnu++11 accepts -g... yes checking for g++ -std=gnu++11 option to enable C++11 features... none needed checking how to run the C++ preprocessor... g++ -std=gnu++11 -E checking whether the compiler supports GNU C++... (cached) yes checking whether g++ -std=gnu++11 accepts -g... (cached) yes checking for g++ -std=gnu++11 option to enable C++11 features... (cached) none needed checking for R... yes checking for quantlib-config... yes checking for Boost development files... yes checking for minimal Boost version... yes configure: creating ./config.status config.status: creating src/Makevars ...........................................................