• 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.