[Rcpp-devel] Error detected in Rcpp module wrapper

[Dirk Eddelbuettel]

Hi Tama,

On 5 December 2010 at 15:36, Tama Ma wrote:
| Dear Rcpp developers,
| 
| 	I have written the following BlackScholesCallFiniteDifference class in <include/black-scholes/black-scholes-call-finite-difference.hpp>, with the Rcpp module wrapper in <src/black-scholes/black-scholes-call-finite-difference-R-module.C>. Then, I compile successfully using g++ (version 4.4) compiler to <lib/gold.so>, to be called within R. There, I met with some problem, given in the error log as follows. Is there any quick solution, or can I help?

I just got in from a run in the snow and have a bunch of errands to run parts
of the day so I may not get to this ... but if you're into Black/Scholes via
FDE, did you look at QuantLib (www.quantlib.org) and RQuantLib (my site, and
CRAN)?  Maybe you'd like to contribute to the latter....  I have a some plans
on adding Rcpp modules to the mix.

Cheers, Dirk

| 
| 	Thank you very much.
| 
| Best regards,
| Tama Ma
| 
| 
| 
| error log
| =======
| 
| Tama-Mas-MacBook-Pro:R tamama$ R
| 
| R version 2.12.0 (2010-10-15)
| Copyright (C) 2010 The R Foundation for Statistical Computing
| ISBN 3-900051-07-0
| Platform: x86_64-apple-darwin10.5.0/x86_64 (64-bit)
| 
| R is free software and comes with ABSOLUTELY NO WARRANTY.
| You are welcome to redistribute it under certain conditions.
| Type 'license()' or 'licence()' for distribution details.
| 
| R is a collaborative project with many contributors.
| Type 'contributors()' for more information and
| 'citation()' on how to cite R or R packages in publications.
| 
| Type 'demo()' for some demos, 'help()' for on-line help, or
| 'help.start()' for an HTML browser interface to help.
| Type 'q()' to quit R.
| 
| > source("gold.R")
| Loading required package: dyn
| Loading required package: zoo
| Loading required package: Rcpp
| > ls()
| [1] "BlackScholesCallFiniteDifference" "E"                               
| [3] "GOLD_DYLIB"                       "GOLD_DYLIB_NAME"                 
| [5] "GOLD_DYLIB_PATH"                  "gold"                            
| [7] "r"                                "sigma"                           
| [9] "simulation"                      
| > cat(E,sep="\n")
| 1
| > cat(sigma,sep="\n")
| 0.2
| > cat(r,sep="\n")
| 0.1
| >
| >
| > simulation$E
| [1] 2.134972e-314
| > simulation$sigma
| [1] 2.143981e-314
| > simulation$r
| [1] 1.561247e-321
| > 
| 
| 
| [ Now, obviously, this is wrong. ]
| 
| 
| 
| <R/gold.R>
| =========
| 
| require(dyn)
| require(Rcpp)
| 
| GOLD_DYLIB_NAME = "gold"
| GOLD_DYLIB_PATH = "../lib"
| GOLD_DYLIB      = paste(GOLD_DYLIB_PATH, "/", GOLD_DYLIB_NAME, ".so", sep="")
| 
| gold = Module("gold", dyn.load(GOLD_DYLIB))
| BlackScholesCallFiniteDifference = gold$BlackScholesCallFiniteDifference
| 
| E             = 1.0;
| sigma         = 0.2;
| r             = 0.1;
| 
| simulation = new(BlackScholesCallFiniteDifference, E, sigma, r); 
| 
| 
| 
| 
| <src/black-scholes/black-scholes-call-finite-difference-R-module.C>
| ====================================================
| 
| #include <iostream>
| #include <cmath>
| 
| #include <Rcpp.h>
| 
| #include "black-scholes/black-scholes-call-finite-difference.hpp"
| 
| 
| RCPP_MODULE(gold)
| {
|   Rcpp::class_<Gold::BlackScholesCallFiniteDifference<unsigned int, int, double> >("BlackScholesCallFiniteDifference")
|     .constructor()
|     .constructor<double, double, double>()
|     .constructor<double, double, double, unsigned int, unsigned int, double, double>()
| 
|     .property("E",      &Gold::BlackScholesCallFiniteDifference<unsigned int, int, double>::E)
|     .property("sigma",  &Gold::BlackScholesCallFiniteDifference<unsigned int, int, double>::sigma)
|     .property("r",      &Gold::BlackScholesCallFiniteDifference<unsigned int, int, double>::r)
| 
|     ;   
| }
| 
| 
| 
| <include/black-scholes/black-scholes-call-finite-difference.hpp>
| =======================================
| 
| #ifndef BLACK_SCHOLES_CALL_FINITE_DIFFERENCE_HPP
| #define BLACK_SCHOLES_CALL_FINITE_DIFFERENCE_HPP
| 
| #include <iostream>
| #include <cmath>
| #include <algorithm>
| #include <numeric>
| 
| #include <blitz/array.h>
| #include <blitz/tinyvec-et.h>
| 
| 
| namespace Gold {
| 
| template <class S1, class S2, class T>
| class BlackScholesCallFiniteDifference
| {
| public:
|   typedef S1  size_type;
|   typedef S1  index_type;
|   typedef S2  blitz_size_type;
|   typedef S2  blitz_index_type;
|   typedef T   parm_type;
|   typedef T   asset_type;
|   typedef T   option_type;
|   typedef T   tau_type;
| 
|   asset_type  E()       {   return _E;      }   
|   parm_type   sigma()   {   return _sigma;  }
|   parm_type   r()       {   return _r;      }   
| 
|   BlackScholesCallFiniteDifference()
|     : _initialized    (false)
|     , _simulated      (false)
|   {}  
| 
|   BlackScholesCallFiniteDifference(asset_type E_, parm_type sigma_, parm_type r_) 
|     :  _initialized(false)
|     ,  _simulated(false)
|     ,  _E(E_)
|     , _sigma(sigma_)
|     , _r(r_)
|   {}  
| 
| private:
|   bool             _initialized;
|   bool             _simulated;
|   asset_type  _E;
|   parm_type  _sigma;
|   parm_type  _r;
| };
| 
| }
| 
| #endif
| 
| 
| 
| 
| 
| 
| 
| 
| 
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-- 
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com