Re: [R-SIG-Finance] ta-lib & quantlib libraries for R

Posted by jorge nieves on
URL: http://quantlib.414.s1.nabble.com/Re-R-SIG-Finance-ta-lib-quantlib-libraries-for-R-tp13221p13223.html

Ok.. I will take a look in detail tonight.  


Jorge Nieves
Moore Capital
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-----Original Message-----
From: Joseph Wang [mailto:[hidden email]]
Sent: Friday, May 28, 2010 10:01 AM
To: Jorge Nieves
Cc: [hidden email]; Dirk Eddelbuettel; Jeff Ryan; [hidden email]; [hidden email]
Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R

The first thing is to check out Quantlib-SWIG from

https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib-SWIG/

and build the R bindings.  There are build instructions in the distribution and test examples.

Once you have that done it's a matter of looking at the .hpp file of the objects you want to bind.  Find a similar object in the SWIG directory and then transform the .hpp declaration adding it to the file SWIG/inflation.i

For example what I did to create the inflation collar instruments is that I cut and paste the non-inflation collar instruments and then modified the signatures to match the .hpp files.  The one thing that I might have to rework is how Seasonality is written so that it gets passed around using boost shared pointers.

On Fri, May 28, 2010 at 9:48 AM, Jorge Nieves <[hidden email]> wrote:

> If you explain me the process, I think I can help.
>
>
> Jorge Nieves
>
>
> -----Original Message-----
> From: Joseph Wang [mailto:[hidden email]]
> Sent: Friday, May 28, 2010 09:47 AM
> To: Jorge Nieves
> Cc: [hidden email]; Dirk Eddelbuettel; Jeff
> Ryan; [hidden email];
> [hidden email]
> Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
>
> I just checked in a file inflation.i into Quantlib-SWIG which provides
> bindings for some of the inflation based instruments.  It's very sparse.
> I'll try to add the other instruments over time, but it's likely to be
> slow to add (i.e. a few weeks), but if there are any volunteers that
> would want to add to the file, let me know and I'll check in any
> additions.
>
> What needs to be done is pretty mechanical (cut and paste) things.
>

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