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ta-lib & quantlib libraries for R

9 messages · balakrishnan.ilango at thomsonreuters.com, Samuel Le, Jeff Ryan +3 more

Original
Samuel Le
# 
Here is Quantlib for R:
http://cran.r-project.org/web/packages/RQuantLib/index.html

thanks,

Samuel
balakrishnan.ilango at thomsonreuters.com wrote:
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The message was checked by ESET NOD32 Antivirus.

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Dirk Eddelbuettel
#
On 26 May 2010 at 06:17, Jeff Ryan wrote:
| There is no ta-lib in R, but there is a great TA package called TTR:

And I'd argue that TA-lib with its fixed-width array is a poor match anyway.
 
| http://cran.r-project.org/web/packages/TTR/index.html
| 
| And quantlib is indeed wrapped for R, or at least parts of:
| 
| http://dirk.eddelbuettel.com/code/rquantlib.html
| http://cran.r-project.org/web/packages/RQuantLib/index.html

Yup. Thanks for the links!

There is also a 'experimental' export of all of QuantLib to R using Swig, but
it isn't to the best of my knowledge all that actively maintained (Hi, Joe!). 
It is also unwieldy as it exports all hidden and visible symbols -- last time
I tried there were more than 15,000 in the package namespave.

And if the OP couldn't find the answer to his initial questions, I suppose he
doesn't have the Google Juice (TM pending) to get that going either.  But
just in case, a somewhat recent thread is at

	http://thread.gmane.org/gmane.comp.finance.quantlib.user/6544

It would be nice if someone gave Joe a hand with this, but it requires strong
C++ and S4 and Swig/Python skills which is not exactly common.

Dirk
 
| HTH
| Jeff
| 
| 
|
| On Wed, May 26, 2010 at 6:12 AM, <balakrishnan.ilango at thomsonreuters.com>wrote:
| 
| > Hi,
| >
| > I have been searching for ta-lib and quantlib libraries for R. I
| > couldn't find it. Can you help me with the source?
| >
| >
| >
| > Thanks,
| >
| >
| > Balakrishnan Ilango
| >
| > Sales Manager - Investment & Advisory
| >
| > South Asia
| >
| >
| >
| > Thomson Reuters
| >
| > 4th Floor, Nicholas Piramal Tower 'B' Wing
| >
| > Peninsula Corporate Park
| >
| > Ganpatrao Kadam Marg, Lower Parel
| >
| > Mumbai - 400001, India
| >
| > Tel: +91 22 6636 7328
| >
| > Mobile: +91 90046 51997
| >
| > Email: balakrishnan.ilango at thomsonreuters.com
| > <mailto:balakrishnan.ilango at thomsonreuters.com>
| >
| > web: www.thomsonreuters.com <http://www.thomsonreuters.com/>
| >
| >
| >
| >        [[alternative HTML version deleted]]
| >
| > _______________________________________________
| > R-SIG-Finance at stat.math.ethz.ch mailing list
| > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > -- Subscriber-posting only. If you want to post, subscribe first.
| > -- Also note that this is not the r-help list where general R questions
| > should go.
| >
| 
| 
| 
| -- 
| Jeffrey Ryan
| jeffrey.ryan at insightalgo.com
| 
| ia: insight algorithmics
| www.insightalgo.com
| 
| 	[[alternative HTML version deleted]]
| 
| _______________________________________________
| R-SIG-Finance at stat.math.ethz.ch mailing list
| https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| -- Subscriber-posting only. If you want to post, subscribe first.
| -- Also note that this is not the r-help list where general R questions should go.
Jorge Nieves
# 
On this same topic, I just took a look at the list of functions from the
quantlib library compiled within R, and I do not see the functions
related to inflation related securities. Inflation functionality is
already available in the quantlib
http://quantlib.sourcearchive.com/documentation/0.9.9/annotated.html

I am working in a project that requires the inflation functions at the
moment. I was wondering if anyone has compiled those functions outside
of the RQuantLib package.  I am not proficient how to go about compiling
those Quantlib functions to use them within R. Could someone explain how
the process works?

Thanks,

Jorge Nieves


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Dirk
Eddelbuettel
Sent: Wednesday, May 26, 2010 07:36 AM
To: Jeff Ryan
Cc: r-sig-finance at stat.math.ethz.ch; Joseph Wang;
balakrishnan.ilango at thomsonreuters.com
Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
On 26 May 2010 at 06:17, Jeff Ryan wrote:
| There is no ta-lib in R, but there is a great TA package called TTR:

And I'd argue that TA-lib with its fixed-width array is a poor match
anyway.
 
| http://cran.r-project.org/web/packages/TTR/index.html
| 
| And quantlib is indeed wrapped for R, or at least parts of:
| 
| http://dirk.eddelbuettel.com/code/rquantlib.html
| http://cran.r-project.org/web/packages/RQuantLib/index.html

Yup. Thanks for the links!

There is also a 'experimental' export of all of QuantLib to R using
Swig, but it isn't to the best of my knowledge all that actively
maintained (Hi, Joe!). 
It is also unwieldy as it exports all hidden and visible symbols -- last
time I tried there were more than 15,000 in the package namespave.

And if the OP couldn't find the answer to his initial questions, I
suppose he doesn't have the Google Juice (TM pending) to get that going
either.  But just in case, a somewhat recent thread is at

	http://thread.gmane.org/gmane.comp.finance.quantlib.user/6544

It would be nice if someone gave Joe a hand with this, but it requires
strong
C++ and S4 and Swig/Python skills which is not exactly common.

Dirk
 
| HTH
| Jeff
| 
| 
| 
| On Wed, May 26, 2010 at 6:12 AM,
<balakrishnan.ilango at thomsonreuters.com>wrote:
| 
| > Hi,
| >
| > I have been searching for ta-lib and quantlib libraries for R. I 
| > couldn't find it. Can you help me with the source?
| >
| >
| >
| > Thanks,
| >
| >
| > Balakrishnan Ilango
| >
| > Sales Manager - Investment & Advisory
| >
| > South Asia
| >
| >
| >
| > Thomson Reuters
| >
| > 4th Floor, Nicholas Piramal Tower 'B' Wing
| >
| > Peninsula Corporate Park
| >
| > Ganpatrao Kadam Marg, Lower Parel
| >
| > Mumbai - 400001, India
| >
| > Tel: +91 22 6636 7328
| >
| > Mobile: +91 90046 51997
| >
| > Email: balakrishnan.ilango at thomsonreuters.com
| > <mailto:balakrishnan.ilango at thomsonreuters.com>
| >
| > web: www.thomsonreuters.com <http://www.thomsonreuters.com/>
| >
| >
| >
| >        [[alternative HTML version deleted]]
| >
| > _______________________________________________
| > R-SIG-Finance at stat.math.ethz.ch mailing list 
| > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > -- Subscriber-posting only. If you want to post, subscribe first.
| > -- Also note that this is not the r-help list where general R 
| > questions should go.
| >
| 
| 
| 
| --
| Jeffrey Ryan
| jeffrey.ryan at insightalgo.com
| 
| ia: insight algorithmics
| www.insightalgo.com
| 
| 	[[alternative HTML version deleted]]
| 
| _______________________________________________
| R-SIG-Finance at stat.math.ethz.ch mailing list 
| https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| -- Subscriber-posting only. If you want to post, subscribe first.
| -- Also note that this is not the r-help list where general R
questions should go.

--
  Regards, Dirk

_______________________________________________
R-SIG-Finance at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions
should go.
2 days later
Khanh Nguyen
# 
If you already had the functions implemented, I can help you
integrating them into R using RQuantLib..

-k

On Wed, May 26, 2010 at 10:02 AM, Jorge Nieves
<jorge.nieves at moorecap.com> wrote:
Jorge Nieves
# 
Khanh,



I am not sure if you have seen Joseph Wang's earlier emails today. He indicated that there is some work related to adding the inflation functions into the "Quantlib-SWIG."  I am checking details tonight to help with the process. Is that what you are offering to do too? Will you be helping with this process?



Jorge Nieves


-----Original Message-----
From: Khanh Nguyen [mailto:nguyen.h.khanh at gmail.com] 
Sent: Friday, May 28, 2010 03:15 PM
To: Jorge Nieves
Cc: Dirk Eddelbuettel; Jeff Ryan; r-sig-finance at stat.math.ethz.ch; Joseph Wang; balakrishnan.ilango at thomsonreuters.com
Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R

If you already had the functions implemented, I can help you integrating them into R using RQuantLib..

-k
On Wed, May 26, 2010 at 10:02 AM, Jorge Nieves <jorge.nieves at moorecap.com> wrote:
Dirk Eddelbuettel
# 
Jorge,
On 28 May 2010 at 15:22, Jorge Nieves wrote:
| I am not sure if you have seen Joseph Wang's earlier emails today. He indicated that there is some work related to adding the inflation functions into the "Quantlib-SWIG."  I am checking details tonight to help with the process. Is that what you are offering to do too? Will you be helping with this process?

With all due respect, you had missed the hint by Joe that Quantlib-Swig was
different from RQuantLib.  Quantlib-Swig is more comprehensive, more
ambitious and (in my humble but biased opinion) quite a bit harder to set-up.

So what Khanh offered you is pretty kind as you probably have RQuantLib's
ease of use (eg: binaries from CRAN) in mind.

That said, the community could do with a few more helping hands.  So if this
leads to more code (and documentation and unit tests and ...) getting into
RQuantLib then I am all for it.

Dirk 
 
 
| Jorge Nieves
| 
| 
| -----Original Message-----
| From: Khanh Nguyen [mailto:nguyen.h.khanh at gmail.com] 
| Sent: Friday, May 28, 2010 03:15 PM
| To: Jorge Nieves
| Cc: Dirk Eddelbuettel; Jeff Ryan; r-sig-finance at stat.math.ethz.ch; Joseph Wang; balakrishnan.ilango at thomsonreuters.com
| Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
| 
| If you already had the functions implemented, I can help you integrating them into R using RQuantLib..
| 
| -k
|
| On Wed, May 26, 2010 at 10:02 AM, Jorge Nieves <jorge.nieves at moorecap.com> wrote:
| >
| > On this same topic, I just took a look at the list of functions from 
| > the quantlib library compiled within R, and I do not see the functions 
| > related to inflation related securities. Inflation functionality is 
| > already available in the quantlib 
| > http://quantlib.sourcearchive.com/documentation/0.9.9/annotated.html
| >
| > I am working in a project that requires the inflation functions at the 
| > moment. I was wondering if anyone has compiled those functions outside 
| > of the RQuantLib package. ?I am not proficient how to go about 
| > compiling those Quantlib functions to use them within R. Could someone 
| > explain how the process works?
| >
| > Thanks,
| >
| > Jorge Nieves
| >
| >
| > -----Original Message-----
| > From: r-sig-finance-bounces at stat.math.ethz.ch
| > [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Dirk 
| > Eddelbuettel
| > Sent: Wednesday, May 26, 2010 07:36 AM
| > To: Jeff Ryan
| > Cc: r-sig-finance at stat.math.ethz.ch; Joseph Wang; 
| > balakrishnan.ilango at thomsonreuters.com
| > Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
| >
| >
| > On 26 May 2010 at 06:17, Jeff Ryan wrote:
| > | There is no ta-lib in R, but there is a great TA package called TTR:
| >
| > And I'd argue that TA-lib with its fixed-width array is a poor match 
| > anyway.
| >
| > | http://cran.r-project.org/web/packages/TTR/index.html
| > |
| > | And quantlib is indeed wrapped for R, or at least parts of:
| > |
| > | http://dirk.eddelbuettel.com/code/rquantlib.html
| > | http://cran.r-project.org/web/packages/RQuantLib/index.html
| >
| > Yup. Thanks for the links!
| >
| > There is also a 'experimental' export of all of QuantLib to R using 
| > Swig, but it isn't to the best of my knowledge all that actively 
| > maintained (Hi, Joe!).
| > It is also unwieldy as it exports all hidden and visible symbols -- 
| > last time I tried there were more than 15,000 in the package namespave.
| >
| > And if the OP couldn't find the answer to his initial questions, I 
| > suppose he doesn't have the Google Juice (TM pending) to get that 
| > going either. ?But just in case, a somewhat recent thread is at
| >
| > ? ? ? ?http://thread.gmane.org/gmane.comp.finance.quantlib.user/6544
| >
| > It would be nice if someone gave Joe a hand with this, but it requires 
| > strong
| > C++ and S4 and Swig/Python skills which is not exactly common.
| >
| > Dirk
| >
| > | HTH
| > | Jeff
| > |
| > |
| > |
| > | On Wed, May 26, 2010 at 6:12 AM,
| > <balakrishnan.ilango at thomsonreuters.com>wrote:
| > |
| > | > Hi,
| > | >
| > | > I have been searching for ta-lib and quantlib libraries for R. I 
| > | > couldn't find it. Can you help me with the source?
| > | >
| > | >
| > | >
| > | > Thanks,
| > | >
| > | >
| > | > Balakrishnan Ilango
| > | >
| > | > Sales Manager - Investment & Advisory
| > | >
| > | > South Asia
| > | >
| > | >
| > | >
| > | > Thomson Reuters
| > | >
| > | > 4th Floor, Nicholas Piramal Tower 'B' Wing
| > | >
| > | > Peninsula Corporate Park
| > | >
| > | > Ganpatrao Kadam Marg, Lower Parel
| > | >
| > | > Mumbai - 400001, India
| > | >
| > | > Tel: +91 22 6636 7328
| > | >
| > | > Mobile: +91 90046 51997
| > | >
| > | > Email: balakrishnan.ilango at thomsonreuters.com
| > | > <mailto:balakrishnan.ilango at thomsonreuters.com>
| > | >
| > | > web: www.thomsonreuters.com <http://www.thomsonreuters.com/>
| > | >
| > | >
| > | >
| > | > ? ? ? ?[[alternative HTML version deleted]]
| > | >
| > | > _______________________________________________
| > | > R-SIG-Finance at stat.math.ethz.ch mailing list 
| > | > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > | > -- Subscriber-posting only. If you want to post, subscribe first.
| > | > -- Also note that this is not the r-help list where general R 
| > | > questions should go.
| > | >
| > |
| > |
| > |
| > | --
| > | Jeffrey Ryan
| > | jeffrey.ryan at insightalgo.com
| > |
| > | ia: insight algorithmics
| > | www.insightalgo.com
| > |
| > | ? ? ? [[alternative HTML version deleted]]
| > |
| > | _______________________________________________
| > | R-SIG-Finance at stat.math.ethz.ch mailing list 
| > | https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > | -- Subscriber-posting only. If you want to post, subscribe first.
| > | -- Also note that this is not the r-help list where general R
| > questions should go.
| >
| > --
| > ?Regards, Dirk
| >
| > _______________________________________________
| > R-SIG-Finance at stat.math.ethz.ch mailing list 
| > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > -- Subscriber-posting only. If you want to post, subscribe first.
| > -- Also note that this is not the r-help list where general R 
| > questions should go.
| >
| > _______________________________________________
| > R-SIG-Finance at stat.math.ethz.ch mailing list 
| > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > -- Subscriber-posting only. If you want to post, subscribe first.
| > -- Also note that this is not the r-help list where general R questions should go.
| >
Jorge Nieves
# 
Dirk  thanks for clarifying. Indeed, I do not know the difference from one to another. I am for the most part an end user.  I honestly do not the details of what it is involved for having the QuantLib up and running within  R. I figured this could be an opportunity for me to understated. So, having said that my offer to help still stands provided that someone explains me what and how.

Jorge Nieves

-----Original Message-----
From: Dirk Eddelbuettel [mailto:edd at debian.org] 
Sent: Friday, May 28, 2010 03:36 PM
To: Jorge Nieves
Cc: Khanh Nguyen; Dirk Eddelbuettel; Jeff Ryan; r-sig-finance at stat.math.ethz.ch; Joseph Wang; balakrishnan.ilango at thomsonreuters.com
Subject: RE: [R-SIG-Finance] ta-lib & quantlib libraries for R


Jorge,
On 28 May 2010 at 15:22, Jorge Nieves wrote:
| I am not sure if you have seen Joseph Wang's earlier emails today. He indicated that there is some work related to adding the inflation functions into the "Quantlib-SWIG."  I am checking details tonight to help with the process. Is that what you are offering to do too? Will you be helping with this process?

With all due respect, you had missed the hint by Joe that Quantlib-Swig was different from RQuantLib.  Quantlib-Swig is more comprehensive, more ambitious and (in my humble but biased opinion) quite a bit harder to set-up.

So what Khanh offered you is pretty kind as you probably have RQuantLib's ease of use (eg: binaries from CRAN) in mind.

That said, the community could do with a few more helping hands.  So if this leads to more code (and documentation and unit tests and ...) getting into RQuantLib then I am all for it.

Dirk 
 
 
| Jorge Nieves
| 
| 
| -----Original Message-----
| From: Khanh Nguyen [mailto:nguyen.h.khanh at gmail.com]
| Sent: Friday, May 28, 2010 03:15 PM
| To: Jorge Nieves
| Cc: Dirk Eddelbuettel; Jeff Ryan; r-sig-finance at stat.math.ethz.ch; 
| Joseph Wang; balakrishnan.ilango at thomsonreuters.com
| Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
| 
| If you already had the functions implemented, I can help you integrating them into R using RQuantLib..
| 
| -k
|
| On Wed, May 26, 2010 at 10:02 AM, Jorge Nieves <jorge.nieves at moorecap.com> wrote:
| >
| > On this same topic, I just took a look at the list of functions from 
| > the quantlib library compiled within R, and I do not see the 
| > functions related to inflation related securities. Inflation 
| > functionality is already available in the quantlib 
| > http://quantlib.sourcearchive.com/documentation/0.9.9/annotated.html
| >
| > I am working in a project that requires the inflation functions at 
| > the moment. I was wondering if anyone has compiled those functions 
| > outside of the RQuantLib package. ?I am not proficient how to go 
| > about compiling those Quantlib functions to use them within R. Could 
| > someone explain how the process works?
| >
| > Thanks,
| >
| > Jorge Nieves
| >
| >
| > -----Original Message-----
| > From: r-sig-finance-bounces at stat.math.ethz.ch
| > [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Dirk 
| > Eddelbuettel
| > Sent: Wednesday, May 26, 2010 07:36 AM
| > To: Jeff Ryan
| > Cc: r-sig-finance at stat.math.ethz.ch; Joseph Wang; 
| > balakrishnan.ilango at thomsonreuters.com
| > Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
| >
| >
| > On 26 May 2010 at 06:17, Jeff Ryan wrote:
| > | There is no ta-lib in R, but there is a great TA package called TTR:
| >
| > And I'd argue that TA-lib with its fixed-width array is a poor match 
| > anyway.
| >
| > | http://cran.r-project.org/web/packages/TTR/index.html
| > |
| > | And quantlib is indeed wrapped for R, or at least parts of:
| > |
| > | http://dirk.eddelbuettel.com/code/rquantlib.html
| > | http://cran.r-project.org/web/packages/RQuantLib/index.html
| >
| > Yup. Thanks for the links!
| >
| > There is also a 'experimental' export of all of QuantLib to R using 
| > Swig, but it isn't to the best of my knowledge all that actively 
| > maintained (Hi, Joe!).
| > It is also unwieldy as it exports all hidden and visible symbols -- 
| > last time I tried there were more than 15,000 in the package namespave.
| >
| > And if the OP couldn't find the answer to his initial questions, I 
| > suppose he doesn't have the Google Juice (TM pending) to get that 
| > going either. ?But just in case, a somewhat recent thread is at
| >
| > ? ? ? ?http://thread.gmane.org/gmane.comp.finance.quantlib.user/6544
| >
| > It would be nice if someone gave Joe a hand with this, but it 
| > requires strong
| > C++ and S4 and Swig/Python skills which is not exactly common.
| >
| > Dirk
| >
| > | HTH
| > | Jeff
| > |
| > |
| > |
| > | On Wed, May 26, 2010 at 6:12 AM,
| > <balakrishnan.ilango at thomsonreuters.com>wrote:
| > |
| > | > Hi,
| > | >
| > | > I have been searching for ta-lib and quantlib libraries for R. I 
| > | > couldn't find it. Can you help me with the source?
| > | >
| > | >
| > | >
| > | > Thanks,
| > | >
| > | >
| > | > Balakrishnan Ilango
| > | >
| > | > Sales Manager - Investment & Advisory
| > | >
| > | > South Asia
| > | >
| > | >
| > | >
| > | > Thomson Reuters
| > | >
| > | > 4th Floor, Nicholas Piramal Tower 'B' Wing
| > | >
| > | > Peninsula Corporate Park
| > | >
| > | > Ganpatrao Kadam Marg, Lower Parel
| > | >
| > | > Mumbai - 400001, India
| > | >
| > | > Tel: +91 22 6636 7328
| > | >
| > | > Mobile: +91 90046 51997
| > | >
| > | > Email: balakrishnan.ilango at thomsonreuters.com
| > | > <mailto:balakrishnan.ilango at thomsonreuters.com>
| > | >
| > | > web: www.thomsonreuters.com <http://www.thomsonreuters.com/>
| > | >
| > | >
| > | >
| > | > ? ? ? ?[[alternative HTML version deleted]]
| > | >
| > | > _______________________________________________
| > | > R-SIG-Finance at stat.math.ethz.ch mailing list 
| > | > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > | > -- Subscriber-posting only. If you want to post, subscribe first.
| > | > -- Also note that this is not the r-help list where general R 
| > | > questions should go.
| > | >
| > |
| > |
| > |
| > | --
| > | Jeffrey Ryan
| > | jeffrey.ryan at insightalgo.com
| > |
| > | ia: insight algorithmics
| > | www.insightalgo.com
| > |
| > | ? ? ? [[alternative HTML version deleted]]
| > |
| > | _______________________________________________
| > | R-SIG-Finance at stat.math.ethz.ch mailing list 
| > | https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > | -- Subscriber-posting only. If you want to post, subscribe first.
| > | -- Also note that this is not the r-help list where general R
| > questions should go.
| >
| > --
| > ?Regards, Dirk
| >
| > _______________________________________________
| > R-SIG-Finance at stat.math.ethz.ch mailing list 
| > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > -- Subscriber-posting only. If you want to post, subscribe first.
| > -- Also note that this is not the r-help list where general R 
| > questions should go.
| >
| > _______________________________________________
| > R-SIG-Finance at stat.math.ethz.ch mailing list 
| > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > -- Subscriber-posting only. If you want to post, subscribe first.
| > -- Also note that this is not the r-help list where general R questions should go.
| >

--
  Regards, Dirk