ta-lib & quantlib libraries for R
Ok.. I will take a look in detail tonight. Jorge Nieves Moore Capital Telephone 212.782.7083 Fax 212.642.7644 -----Original Message----- From: Joseph Wang [mailto:joequant at gmail.com] Sent: Friday, May 28, 2010 10:01 AM To: Jorge Nieves Cc: quantlib-dev at lists.sourceforge.net; Dirk Eddelbuettel; Jeff Ryan; r-sig-finance at stat.math.ethz.ch; balakrishnan.ilango at thomsonreuters.com Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R The first thing is to check out Quantlib-SWIG from https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib-SWIG/ and build the R bindings. There are build instructions in the distribution and test examples. Once you have that done it's a matter of looking at the .hpp file of the objects you want to bind. Find a similar object in the SWIG directory and then transform the .hpp declaration adding it to the file SWIG/inflation.i For example what I did to create the inflation collar instruments is that I cut and paste the non-inflation collar instruments and then modified the signatures to match the .hpp files. The one thing that I might have to rework is how Seasonality is written so that it gets passed around using boost shared pointers.
On Fri, May 28, 2010 at 9:48 AM, Jorge Nieves <jorge.nieves at moorecap.com> wrote:
If you explain me the process, I think I can help. Jorge Nieves -----Original Message----- From: Joseph Wang [mailto:joequant at gmail.com] Sent: Friday, May 28, 2010 09:47 AM To: Jorge Nieves Cc: quantlib-devel at lists.sourceforge.net; Dirk Eddelbuettel; Jeff Ryan; r-sig-finance at stat.math.ethz.ch; balakrishnan.ilango at thomsonreuters.com Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R I just checked in a file inflation.i into Quantlib-SWIG which provides bindings for some of the inflation based instruments. ?It's very sparse. I'll try to add the other instruments over time, but it's likely to be slow to add (i.e. a few weeks), but if there are any volunteers that would want to add to the file, let me know and I'll check in any additions. What needs to be done is pretty mechanical (cut and paste) things.