[Rquantlib-devel] RQuantLib - Short question

[Dirk Eddelbuettel]

On 6 January 2012 at 16:56, care02 wrote:
| I agree with you regarding QuantLib's Swig interface for R. I have managed to
| get it up and running in the past, but not now (and it's not easy to know why).
| 
| I think I could help you with some of the interfaces for RQuantLib.
| 
| What is the quickest way to learn RCpp? 

Read the Rcpp docs, particularly Rcpp-introduction.pdf and
Rcpp-FAQ.pdf. Study the examples. Subscribe to / follow rcpp-devel. Not that
difficult, really, if you know some R and some C++.

| What do I need to know in order to add
| contributions to the RQuantLib project? Can I achieve proficiency by reading
| the sources, or could you point me to a good manual?

Well there is Luigi's book in progress (Google "Implementing QuantLib", don't
have URL handy).  Otherwise I recommend the QuantLib example codes.

| I saw that you recently added some of the calendars and day count conventions.
| I have done som work in this area, and have an interest in using QuantLib's
| date facilities and calendar functionality in R as well; especially for fixed
| income related instruments, and in the area of bootstrapping techniques for
| interest rate curves and credit risk.

That would be great. Khanh (CC'ed) added an excellent 'v1.0' layer, but we
need to revisit and extend that now.  I also would love to make the code
closer to the termstr package on CRAN which does similar things (without
QuantLib).

I am CCing the (very dormant) rquantlib-devel list. You should probably
subscribe there, and we should move the discussion over there.

Cheers, Dirk

| 
| Carl
| 
| On Fri, Jan 6, 2012 at 4:36 PM, Dirk Eddelbuettel <edd at debian.org> wrote:
| 
| 
|     On 6 January 2012 at 16:02, care02 wrote:
|     | Hi!
|     |
|     | I have been following QuantLib from the very early days of the project.
|     My
|     | short question is the following: What is the reason for a separate
|     RQuantLib
|     | project? In QuantLib there is a Swig interface for R. Wouldn't it be a
|     better
|     | idea to extend this interface instead of developing a separate interface
|     | between R and QuantLib? Am I missing something, or are there speed and
|     other
|     | efficiency related reasons that motivate such a project?
| 
|     The Swig/R binding project started after RQuantLib.  It also almost never
|     worked; I got it to build once yet tried multiple times. I believe it is
|     now
|     unmaintained, keeping contact with the author proved to be difficult.
| 
|     | I am very interested in your opinion since I am working on quant related
|     R
|     | projects that eventually will (almost surely) appear in the public
|     domain.
| 
|     Keep me / the world posted.
| 
|     Dirk
| 
|     | Yours,
|     |
|     | Carl
|    
|     --
|     "Outside of a dog, a book is a man's best friend. Inside of a dog, it is
|     too
|     dark to read." -- Groucho Marx
| 
| 

-- 
"Outside of a dog, a book is a man's best friend. Inside of a dog, it is too
dark to read." -- Groucho Marx