[英]Calling QuantLib from R through Rcpp
Preliminary steps 初步步骤
QuantLib was installed along with Boost and built following these instructions in Microsoft Visual C++ 2010; QuantLib与Boost一起安装,并按照Microsoft Visual C ++ 2010中的这些说明构建; test code went on with no issues.
测试代码继续没有问题。
Using R with the following sample code gave the expected results: 使用R和以下示例代码给出了预期的结果:
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
As of the use of separate C++ files, the example below 截至使用单独的C ++文件,下面的示例
#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 成功结果
R
是
> timesTwo(7)
[1] 14
I guess that everything is fine. 我想一切都很好。
My question 我的问题
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
? 如果我的设置是正确的,我的问题是:假设我的
QuantLib-vc100-mt-gd.lib
对象文件库在C:\\DevTools\\QuantLib-1.3\\lib
,我应该怎么做才能使下面的代码工作从R
调用时是否正确?
#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;
}
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). 请参阅Rcpp常见问题解答“我可以在Visual Studio中使用R和Rcpp”的一般问题(tl;博士:不,你不能)。
But before there was Rcpp there was already RQuantLib, and it still exists. 但是在Rcpp之前已经存在RQuantLib,它仍然存在。 Download its sources, download the quantlib-1.4.zip from the 'extras' site in Oxford and just rebuild RQuantLib with it.
下载其源代码,从牛津大学的'extras'站点下载quantlib-1.4.zip,然后用它重建RQuantLib。 Which uses Rcpp.
其中使用Rcpp。
You can then extend RQuantLib to your heart's content. 然后,您可以将RQuantLib扩展到您的内容。
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. 最新的RQuantLib也有一个类似于RcppArmadillo和RcppEigen的插件,所以你可以像你发布的那样构建快速的小测试文件。 I will try to follow-up on the weekend with an existence proof example.
我会尝试在周末跟进一个存在证明的例子。
Edit : As promised, I gave that a go. 编辑 :按照承诺,我放弃了。 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": 使用当前的RQuantLib(0.3.12)和Rcpp(0.11.1,今天发布,但0.11.0应该可以工作)和你的文件保存在
/tmp/lisaann.cpp
这个“正常工作”:
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 如果它在Windows上失败了,请确保有
src/Makevars.win
expects src/Makevars.win
期望的环境变量 Else, just use Ubuntu, Debian, or any other sane OS in a virtual machine. 另外,只需在虚拟机中使用Ubuntu,Debian或任何其他理智的操作系统。
Edit 2: One important part, though, is that the [[ Rcpp::depends() ]]
attribute is added to your code. 编辑2:但重要的一点是,
[[ Rcpp::depends() ]]
属性被添加到您的代码中。 With that, here is the file I used: 有了它,这是我使用的文件:
#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. 这与您在此处使用的插件的(重要!)引用不同。
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