Using Rcpp and QuantLib to build new R packages is straight forward on Unix/Linux. More steps are needed to achieve the same on Windows. Please find here a short manual taking the RHestonSLV packages as an example.
Using Rcpp and QuantLib to build new R packages is straight forward on Unix/Linux. More steps are needed to achieve the same on Windows. Please find here a short manual taking the RHestonSLV packages as an example.
HPC-QuantLib 
Nice, but if one needs to quickly move a part of calculation on C++ side, there is an easier way:
res = system(“/path/to/yourProg.exe param1 param2 param3”, intern=TRUE)
Here is an example (for Linux but it also worked for Windows)
https://letyourmoneygrow.com/2017/05/17/integrating-quantlib-r-web/