RcppQuantuccia Build Status License CRAN Dependencies Downloads


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.

A Smaller Subset

As of version 0.0.3, we exclude the 7.6 mb header file sobolrsg.hpp, and well as references to it including the model subdirectory using the Sobol-based Brownian Market Models. This shrinks the resulting shared library from around 26 mb (!!) to 0.64 mb, and the (compressed) source tarball from 1.6 mb to 0.24 mb.


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)