[R-SIG-Finance] Quantlib in R (was RE:Financial Basket Options)

[Jeff Ryan]

Hi Dirk, Brian, et al,

I'd be game to get this together - though were _my_ skills fit in
(Python maybe???) would have to be sorted out :)

As an aside, I did manage to get RQuantLib on my Mac running via macports.

Tell me when and where.

Jeff

On Jan 24, 2008 9:00 AM, Dirk Eddelbuettel <edd at debian.org> wrote:
>
> Hi Brian,
>
> On 24 January 2008 at 07:39, Brian G. Peterson wrote:
> | Dirk Eddelbuettel wrote:
> | > Sorry, I meant to chime in earlier on this. Did any of you look at QuantLib?
> | > AFAICT it has a basketoption class allowing for multiple assets, Monte Carlo
> | > pricers for american and european exercise as well as Stulz (1992) method.
> | >
> | > I often look at the available code via what's in the regression tests, so
> | > here is the header test-suite/basketoption.hpp:
> | >
> | > class BasketOptionTest {
> | >   public:
> | >     static void testEuroTwoValues();
> | >     static void testBarraquandThreeValues();
> | >     static void testTavellaValues();
> | >     static void testOneDAmericanValues();
> | >     static void testOddSamples();
> | >     static boost::unit_test_framework::test_suite* suite();
> | > };
> | >
> | > My RQuantLib package currently does not wrap basket options, but has a few
> | > other exotics one could take as a stanza.  Building the package is possible
> | > on both Windows and Linux, but somewhat more tedious on the former (as you
> | > need to build QL and Boost first).  My main contributor Dominick has a
> | > tarball with that prebuilt if it is of interest.  If there is interest, we
> | > could add this to RQuantLib.
> |
> | Well, I don't really use Windows as an operating system for running R,
> | but it seems that adding the required libraries to the Windows version
> | of RQuantlib would increase the likelihood of extensions.
>
> I think we are talking about the same issue here, but maybe we are also
> talking past each other, so just do be clear:
>
> - Windows users R can just 'click on' RQuantLib and they get a binary ready
>   to run; this includes a static library of QuantLib itself.  [ And Debian
>   users  get RQuantLib via apt-get as usual, same for Ubuntu etc pp so those
>   derivate distros may be a version behind
>
> - Because R on Windows uses MinGW, one needs a MinGW build of QuantLib to
>   build R against.  Such builds have in the past been provided by Dominick.
>   However, these builds are typically not publically announced but instead
>   have been given to Uwe to build CRAN's Windows version of RQuantLib.
>   This allows _use_ of RQuantLib but not really development.
>
> - It would be great of someone volunteered to provided this library on
>   go-forward basis as Dominick indicated that he will no longer do this.
>
> | On a related note:
> |
> | I'm really curious whether there's any interest in extending and
> | formalizing the SWIG work that was done with Quantlib and R.  It seems
> | that the Quantlib team has some interest, as they have added some
> | documentation to their site, which is new since the last time I looked:
> |
> | http://wiki.quantlib.org/twiki/bin/view/Quantlib/RSwigDocumentation
> |
> | and the SWIG team's "quite incomplete" documentation, which overlaps to
> | a degree with the docs on the Quantlib page:
> |
> | http://www.swig.org/Doc1.3/R.html
> |
> | Joseph Chen-Yu Wang of the QuantLib team's paper on this may be found here:
> | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=965317
> |
> | It seems that it would be good to spend a little time trying to package
> | at least some of the SWIG work (possibly into RQuantlib?) so that there
> | is a template for adding other functions to R as they are added to Quantlib.
>
> I am obviously fully in favour, but I do not have the bandwidth to drive
> this along with my current list of things to juggle.
>
> The last time I tried to build this, shortly after Joe Wang finished a major
> piece of his work, I found that
>
> - his documentation was inadequate (at least for my Python and Swig skills)
>   and wrong (and then offered to proof-read and sadly never got back to him)
>   though I ended up getting it build with some help by Joe
>
> - created one monstrously large dynamic library file you need to load;
>   basically all of QL becomes one blob which is a tad unwielding if you just
>   want one or two pricers
>
> - however, this is really useful piece of code, and QuantLib is about to go
>   to the long-awaited 1.0 release so the time may be right.
>
> | Quantlib is such an extensive and useful collection, it seems that we
> | could all benefit from a little more work in that direction.
>
> So despite of what I said above, maybe you and I need to clear a weekend and
> make it a Chicago hackathon?
>
> Anybody else?  Chicago can be reached from just about anywhere, and I sure we
> can find a place to stay for any and all volunteers :)  Barring that, we
> could always try virtual meetings but real hackathons may be more effective.
>
> Dirk
>
> --
> Three out of two people have difficulties with fractions.
>
>
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