[R-SIG-Finance] zoo-like classes in c++?

Armstrong, Whit whit.armstrong at hcmny.com
Tue Jul 31 22:36:36 CEST 2007

no help files for this package which is why it's not on cran yet, but
I'm happy to walk you through whatever you need to do.

It's basically an R wrapper on top of a c++ class which implements all
the time series functions.  It uses POSIXct for dates.



> -----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 
> Jordi Molins
> Sent: Tuesday, July 31, 2007 4:05 PM
> To: r-sig-finance at stat.math.ethz.ch; Jordi Molins
> Subject: [R-SIG-Finance] zoo-like classes in c++?
> I usually use zoo for my time series in R. However, sometimes 
> my algorithms are very slow. Maybe my code is inefficient, 
> but I need to add several for and ifs, which I believe slows 
> down the whole calculation.
> I have been thinking that if I could use the C++ STL for 
> intersections (and other operations), in addition to use the 
> fast for and if in c++, the calculation could be much faster. 
> My problem is that I do not know any time and date class in 
> C++ with the same conventions as in zoo and POSIX. I have 
> been googling, and I have found Boost.Date_Time, which 
> apparently does quite a lot of what I want.
> Is zoo using some time and date class from C++? If yes, which 
> one? if not, which one could I use?
> Thank you.
> 	[[alternative HTML version deleted]]
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