R Bindings to the 'Quantuccia' Header-Only Essentials of 'QuantLib'

'QuantLib' bindings are provided for R using 'Rcpp' and the header-only 'Quantuccia' variant (put together by Peter Caspers) offering an essential subset of 'QuantLib'. See the included file 'AUTHORS' for a full list of contributors to both 'QuantLib' and 'Quantuccia'.


Quantuccia is the "little sister" of QuantLib: A header-only subset of which aims to provide the essential parts of QuantLib while being easier to deploy requiring only Boost headers besides itself.

Being header-only makes providing Quantuccia for R a breeze as we can rely on the Rcpp and BH packages. Nothing else is required, and as these packages are available on all relevant platforms, deploying RcppQuantuccia is straightforward.


Here we examine holiday lists for given calendars, specified by country and possibly exchange:

R> library(RcppQuantuccia)
R> fromD <- as.Date("2017-01-01")
R> toD <- as.Date("2017-12-31")
R> getHolidays(fromD, toD)        # default calender ie TARGET
[1] "2017-04-14" "2017-04-17" "2017-05-01" "2017-12-25" "2017-12-26"
R> setCalendar("UnitedStates")
R> getHolidays(fromD, toD)        # US aka US::Settlement
[1] "2017-01-02" "2017-01-16" "2017-02-20" "2017-05-29" "2017-07-04" "2017-09-04"
[7] "2017-10-09" "2017-11-10" "2017-11-23" "2017-12-25"
R> setCalendar("UnitedStates::NYSE")
R> getHolidays(fromD, toD)        # US New York Stock Exchange
[1] "2017-01-02" "2017-01-16" "2017-02-20" "2017-04-14" "2017-05-29" "2017-07-04"
[7] "2017-09-04" "2017-11-23" "2017-12-25"

This shows the difference between the default US settlement calendar and the NYSE calendar which we selected explicitly.


Still fairly new. Functional but e.g. several of the other QuantLib calendars still need to be ported.


The package can be installed from CRAN via


or if you prefer non-release development version these can be installed from GitHub via e.g.


or maybe just checkout the repository locally.


Dirk Eddelbuettel


GPL (>= 2)


Reference manual

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0.0.3 by Dirk Eddelbuettel, a year ago

Browse source code at https://github.com/cran/RcppQuantuccia

Authors: Dirk Eddelbuettel; the authors and contributors of QuantLib

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Imports Rcpp

Linking to Rcpp, BH

See at CRAN