The Rmetrics suite of packages comprises fAsianOptions, fAssets, fBasics, fBonds, timeDate (formerly: fCalendar), fCopulae, fEcofin, fExoticOptions, fExtremes, fGarch, fImport,fMultivar, fNonlinear, fOptions, fPortfolio, fRegression, timeSeries (formerly: fSeries), fTrading, fUnitRoots and contains a very large number of relevant functions for different aspect of empirical and computational finance.
The RQuantLib package provides several option-pricing functions as well as some fixed-income functionality from the QuantLib project to R.
The quantmod package offers a number of functions for quantitative modelling in finance as well as data acqusition, plotting and other utilities.
The portfolio package contains classes for equity portfolio management; the portfolioSim builds a related simulation framework. The backtest offers tools to explore portfolio-based hypotheses about financial instruments. The stockPortfolio packages provides functions for single index, constant correlation and multigroup models.
The PerformanceAnalytics package contains a large number of functions for portfolio performance calculations and risk management.
The TTR contains functions to construct technical trading rules in R. The ttrTests package contains several test statistics for assessing the efficacy of such rules.
The NMOF package provides functions, examples and data from Numerical Methods in Finance by Manfred Gilli, Dietmar Maringer and Enrico Schumann (2011), including the different optimization heuristics such as Differential Evolution, Genetic Algorithms, Particle Swarms, and Threshold Accepting.
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