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  • Install Rtools and msys
  • Download and extract a copy of boost in c:/msys/home/boost_1_57_0
  • Create or edit c:/msys/etc/fstab to mount c:/Rtools/gcc-4.6.3 /mingw
  • Extract QuantLib-1.5.tar.gz
  • To configure run: CPPFLAGS="-I/home/boost_1_57_0" CXXFLAGS="-g0" ./configure
  • To build (box with 8 cores) run: make -j9
  • Add -m64 to CXXFLAGS to build x64 library
  • Example of my RQuantLib Makevars.win file:
QUANTLIB_ROOT="C:/Users/Jeroen/Desktop/quantlib"
BOOSTLIB="C:/msys/home/boost_1_57_0"

PKG_CPPFLAGS=-I$(QUANTLIB_ROOT)/include -I../inst/include -I. -I$(BOOSTLIB)
PKG_CXXFLAGS= -fpermissive 
PKG_LIBS=-L$(QUANTLIB_ROOT)/lib${R_ARCH} -lQuantLib
  • The static libraries are too big for github (even with -g0), that is why they are zipped.
  • Hopefully future versions of RQuantLib will use boost from the BH package.