http://quantlib.414.s1.nabble.com/QuantLib-R-package-from-SWIG-code-tp14318p14321.html
yes, let's merge it after release. We'll autoconf it so that the
doing to hide the shared pointers from the interface. Option::Put,
data member (see swap.i, line 56 and onwards). Does SWIG/R manage
>
> Hi all,
>
> A few days ago I finally made an attempt at turning the few files usually
> contained in the QL-SWIG directory for R (eg makeRData.R, QuantLib.cpp,
> QuantLib.R) into a proper R package (in the sense of the ~ 4500 CRAN
> packages).
>
> It is straightforward. A working version is committed in the SVN of my
> earlier (and more limited) explicit RQuantLib wrapping at R-Forge [1]. One
> only needs this minimal layout:
>
> edd@max:~/svn/rquantlib/pkg/QuantLib$ tree
> .
> ├── cleanup
> ├── demo # mostly files by Joseph Wang
> │ ├── 00Index # index of demos
> │ ├── bates.R # a file by Klaus Spanderen
> │ ├── bonds.R # something I added, see below
> │ ├── europeanOption.R
> │ ├── fdOption.R
> │ ├── graph.R
> │ ├── scatter.R
> │ ├── swap.R # incomplete, see below
> │ └── wireframe.R
> ├── DESCRIPTION
> ├── NAMESPACE
> ├── R
> │ ├── makeRData.R # not needed
> │ └── QuantLib.R
> └── src
> ├── Makevars
> └── QuantLib.cpp
>
> 3 directories, 16 files
> edd@max:~/svn/rquantlib/pkg/QuantLib$
>
> where
> a) demo/ is an optional directory with examples or demos,
> b) makeRData.R is all commented-out (!!) and
> c) the files R/QuantLib.R and src/QuantLib.cpp are _unaltered_ copies
> from the current QL-SWIG files.
> DESCRIPTION and NAMESPACE are needed per R standards for packages. The rest
> is gravy: src/Makevars is two lines calling quantlib-config. We can easily
> autoconf this.
>
> The main advantage: it now behaves like a standard R packages, and users can
> do library(QuantLib) as they would with any other package. [ It will
> never pass QA tests for R as every exported function would need a manual page
> etc pp. The code is also fragile, it is pretty easy to end up with segfaults. ]
>
> Now, I don't want to suggest that we shoehorn this into 1.3 if QL 1.3 is coming
> soon, but maybe the one after would fit if anybody else is interested in R
> integration? I'd also be happy to keep it outside of QL if that is prefered.
>
> Also, I spent some time on the weekend translating bonds.py into bonds.R.
> That worked nicely, see below [2] I also tried to translate swap.py -- but
> just realized that the enum type for the Payer vs Receiver is not in the
> QuantLib.R file [3]. Any idea? I may translate some more of the existing
> examples from Python or other directories.
>
> Feedback welcome.
>
> Dirk
>
>
> [1] You can browse the SVN here:
>
https://r-forge.r-project.org/scm/viewvc.php/pkg/QuantLib/?root=rquantlib>
> [2] A quick transcript
>
> edd@max:~/svn/rquantlib/pkg/QuantLib$ R --slave -e 'source("demo/bonds.R")'
> Today :[1] "2008-09-15"
> Settlement Date: [1] "2008-09-18"
>
> Results:
> zeroCoupon fixedRate floatingRate
> NPV 100.922 107.66829 102.3593146
> Clean Price 100.922 106.12753 101.7972017
> Dirty Price 100.922 107.66829 102.3593146
> Accrued Amount 0.000 1.54076 0.5621129
> Previous Coupon NA 0.04500 0.0288625
> Next Coupon NA 0.04500 0.0342984
>
> Sample indirect computations (for the floating rate bond):
> Yield to Clean Price: [1] 101.797
> Clean Price to Yield: [1] 0.0220096
> edd@max:~/svn/rquantlib/pkg/QuantLib$
>
>
> [3] No Payer/Receiver enum for Vanilla Swap, other enums are defined:
>
> edd@max:~/svn/rquantlib/pkg/QuantLib$ grep Payer R/QuantLib.R
> edd@max:~/svn/rquantlib/pkg/QuantLib$ grep Put R/QuantLib.R
> 'Put' = -1,
> edd@max:~/svn/rquantlib/pkg/QuantLib$
>
> --
> Dirk Eddelbuettel |
[hidden email] |
http://dirk.eddelbuettel.com>
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