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

Sean O'Riordain seanpor at acm.org
Tue Jul 31 22:37:22 CEST 2007


I've been doing some work with big text files (50+mb) recently and I
thought that I could only do the work in for() loops etc... I was ok
up to a certain size then my machine just couldn't take it ran out of
memory and I had to rework my algorithm - staying in R - I work in a
corporate environment where making changes to my desktop is something
that takes weeks and I just didn't have that time on the project...
Eventually I figured out how to vectorise the calculations and on a
small file what took minutes reduced to instantaneous, and from what
was impossible took a mere 10 seconds once vectorised...

Are you really sure that it is really impossible to vectorise this?


On 31/07/07, Jordi Molins <jordi.molins.coronado at gmail.com> wrote:
> 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.
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