通过Rcpp从R调用QuantLib

本文介绍了通过Rcpp从R调用QuantLib的处理方法，对大家解决问题具有一定的参考价值，需要的朋友们下面随着小编来一起学习吧！

问题描述

预备步骤

与一起安装并根据Microsoft Visual C ++ 2010中的指示创建;测试代码没有问题。

使用R与以下示例代码给出了预期结果：

  install.packages（Rcpp）
 library（Rcpp）
 
 cppFunction（'
 int add（int x，int y，int z）{
 int sum = x + y + z; 
 return sum; 
}'
）
 
 add（1，2，3） 
＃> add（1，2，3）
＃[1] 6

的单独C ++文件，以下示例

  #include< Rcpp.h> 
使用命名空间Rcpp; 
 
 //下面是一个将C ++函数导出为R的简单例子。
 //使用Rcpp :: sourceCpp 
 //将这个函数导入R会话函数（或通过编辑器工具栏上的Source按钮）
 
 //有关使用Rcpp的更多信息，请单击编辑器工具栏上的帮助按钮
 
 // [[Rcpp :: export]] 
 int timesTwo（int x）{
 return x * 2; 
}

已成功完成 R 是

 > timesTwo（7）
 [1] 14

我想一切都很好。 p>

我的问题

如果我的设置正确，我的问题是： code> QuantLib-vc100-mt-gd.lib 目标文件库在 C：\DevTools\QuantLib-1.3 \lib ，如果从 R ？<$ p

<$ p>调用，我应该怎么做， $ p> #include< ql / quantlib.hpp> #include< Rcpp.h> 使用命名空间Rcpp; // [[Rcpp :: export]] double timesTwo（double x）{ QuantLib :: Calendar myCal = QuantLib :: UnitedKingdom（）; QuantLib :: Date newYearsEve（31，QuantLib :: Dec，2008）; QuantLib :: Rate zc3mQuote = x; return zc3mQuote * 2; }

解决方案

请参阅Rcpp常见问题一般的问题我可以使用R和Rcpp与Visual Studio（tl; dr：不，你不能）。

但在Rcpp之前有已经RQuantLib，它仍然存在。下载其来源，从，只需重新构建RQuantLib。它使用Rcpp。

然后你可以扩展RQuantLib到你的心的内容。

最新的RQuantLib也有一个类似于RcppArmadillo和RcppEigen的插件，所以你可以建立快速的小测试文件，像你发布。

我给了一个去。使用当前的RQuantLib（0.3.12）和Rcpp（0.11.1，今天发布，但0.11.0应该工作）和您的文件保存在 /tmp/lisaann.cpp 这just works：

  R&库（Rcpp）
 R> sourceCpp（/ tmp / lisaann.cpp）
 R> timesTwo（1.23）
 [1] 2.46 
 R>

如果在Windows上失败，请确保

安装的Rtools

预先构建的QuantLib供R使用（参见）

设置了环境变量 src / Makevars.win 预期

否则只需使用Ubuntu，Debian或任何其他

。

c $ c> [[Rcpp :: depends（）]] 属性添加到您的代码。下面是我使用的文件：

  #include< ql / quantlib.hpp> 
 #include< Rcpp.h> 
使用命名空间Rcpp; 
 
 // [[Rcpp :: depends（RQuantLib）]] 
 
 // [[Rcpp :: export]] 
 double timesTwo（double x）{ 
 QuantLib :: Calendar myCal = QuantLib :: UnitedKingdom（）; 
 QuantLib :: Date newYearsEve（31，QuantLib :: Dec，2008）; 
 QuantLib :: Rate zc3mQuote = x; 
 return zc3mQuote * 2; 
}

这里。

Preliminary steps

QuantLib was installed along with Boost and built following these instructions in Microsoft Visual C++ 2010; test code went on with no issues.

Using R with the following sample code gave the expected results:

install.packages("Rcpp")
library(Rcpp)

cppFunction('
  int add(int x, int y, int z) {
    int sum = x + y + z;
    return sum;
  }'
)

add(1, 2, 3)
# > add(1, 2, 3)
# [1] 6

As of the use of separate C++ files, the example below

#include <Rcpp.h>
using namespace Rcpp;

// Below is a simple example of exporting a C++ function to R. You can
// source this function into an R session using the Rcpp::sourceCpp
// function (or via the Source button on the editor toolbar)

// For more on using Rcpp click the Help button on the editor toolbar

// [[Rcpp::export]]
int timesTwo(int x) {
   return x * 2;
}

succeded for the result in R was

> timesTwo(7)
[1] 14

I guess that everything is fine.

My question

If my setup is correct, my question is: assuming my QuantLib-vc100-mt-gd.lib object file library is in C:\DevTools\QuantLib-1.3\lib, what should I do to make something like the code below to work properly if called from R?

#include <ql/quantlib.hpp>
#include <Rcpp.h>
using namespace Rcpp;

// [[Rcpp::export]]
double timesTwo(double x) {
  QuantLib::Calendar myCal = QuantLib::UnitedKingdom();
  QuantLib::Date newYearsEve(31, QuantLib::Dec, 2008);
  QuantLib::Rate zc3mQuote = x;
  return zc3mQuote * 2;
}

解决方案

Please see the Rcpp FAQ for the general question of 'can I use R and Rcpp with Visual Studio' (tl;dr: No, you can't).

But before there was Rcpp there was already RQuantLib, and it still exists. Download its sources, download the quantlib-1.4.zip from the 'extras' site in Oxford and just rebuild RQuantLib with it. Which uses Rcpp.

You can then extend RQuantLib to your heart's content.

The newest RQuantLib also has a plugin similar to what RcppArmadillo and RcppEigen have, so you can build the quick little test files like the one you posted. I will try to follow-up on the weekend with an existence proof example.

Edit: As promised, I gave that a go. With the current RQuantLib (0.3.12) and Rcpp (0.11.1, released today but 0.11.0 should work) and your file save in /tmp/lisaann.cpp this "just works":

R> library(Rcpp)
R> sourceCpp("/tmp/lisaann.cpp")
R> timesTwo(1.23)
[1] 2.46
R>

If it fails for you on Windows, make sure have

Rtools installed
the pre-build QuantLib for use by R (see my recent blog post)
have the environment variables set which src/Makevars.win expects

Else, just use Ubuntu, Debian, or any other sane OS in a virtual machine.

Edit 2: One important part, though, is that the [[ Rcpp::depends() ]] attribute is added to your code. With that, here is the file I used:

#include <ql/quantlib.hpp>
#include <Rcpp.h>
using namespace Rcpp;

// [[Rcpp::depends(RQuantLib)]]

// [[Rcpp::export]]
double timesTwo(double x) {
  QuantLib::Calendar myCal = QuantLib::UnitedKingdom();
  QuantLib::Date newYearsEve(31, QuantLib::Dec, 2008);
  QuantLib::Rate zc3mQuote = x;
  return zc3mQuote * 2;
}

which differs from yours only in the (important!) reference to the plugin used here.

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