[Rquantlib-devel] RQuantLib

[Bryan W. Lewis]

Thanks, Dirk. I'm subscribed and will use the devel-list. I'll post
sample code exposing the engines as soon as I work out a few remaining
details working around the boost smart pointers.

--Bryan

On Sat, May 7, 2011 at 3:45 PM, Dirk Eddelbuettel <edd at debian.org> wrote:
>
> Leo, Christian, Bryan:
>
> I had pleasant chats with all three of you during R/Finance regarding future
> work on RQuantLib.  I'm game.  A couple of ideas:
>
>  - One-on-one email is inefficient. I would love for all of this to take
>    place on the somewhat dormant rquantlib-devel list hanging off the
>    project.  Whoever wants to follow up should be able to subscribe
>    there. If not, ping me.
>
>  - I also CC'ed Khanh who has some dormant interest in RQL, and Shane and
>    Josh who both helped with the dreaded Windows builds for CRAN.
>
>  - I think I want to toy with using Rcpp modules for simpler easier
>    interfaces.
>
>  - We need a better data strucure for fixed income instruments. What Khanh
>    did in his Google Summer of Code project works great, but is
>    inefficient. The termstr package on CRAN has something better.  We should
>    try to maybe use their scheme.  Any takers -- Christian, would this
>    possibly be up your alley as I presume pensam uses QL for fixed income
>    (just a guess, I could be wrong.
>
>  - Bryan mentioned something rather exciting about decomposing process
>    generators and pricers at the R level, maybe modules could here there
>    too.
>
>  - I just rebuild RQuantLib 0.3.7 against the QuantLib 1.1 pre-release
>    snapshot I pushed into Debian. No changes needed / forced upon us. Good.
>
>  - This was just a quick braindump, I am between kids soccer games this
>    afternoon but had meant to get this out for the last few days.
>
> Let's put some life into RQuantLib.
>
> Cheers,  Dirk
>
> --
> Gauss once played himself in a zero-sum game and won $50.
>                      -- #11 at http://www.gaussfacts.com
>