[R-SIG-Finance] Problem with solver solveRquadprog in fPortfolio

Peter Keller podvalov at gmx.net
Sat Apr 17 13:33:05 CEST 2010


First of all thank you very much for your fast reply and clarification. 
I thought it could be an interface error, but of course I was not sure.

Do you have already a rough idea when the new version of fPortfolio will 
be released?

Have a nice weekend and best regards,


Yohan Chalabi wrote:
>>>>> "PK" == Peter Keller <podvalov at gmx.net>
>>>>> on Sat, 17 Apr 2010 14:07:29 +0300
>    PK> Hi there,
>    PK>
>    PK> I have a serious problem with solver solveRquadprog in
>    PK> fPortfolio.
>    PK> Unfortunately, solveRquadprog is the standard solver in
>    PK> fPortfolio and
>    PK> pretty essential.
>    PK>
>    PK> How to replicate the problem on my PC:
>    PK>
>    PK> library(fPortfolio)
>    PK> library(fEcofin)
>    PK>
>    PK> library(Rsymphony)
>    PK> library(lpSolveAPI)
>    PK>
>    PK> djiData = as.timeSeries(DowJones30)
>    PK> djiData.ret <- 100 * returns(djiData)
>    PK> frontier <- portfolioFrontier(djiData.ret)
>    PK>
>    PK> I get then the error message:
>    PK>
>    PK> Error in .Fortran("qpgen2", as.double(Dmat), dvec =
>    PK> as.double(dvec),
>    PK> as.integer(n), :
>    PK> Incorrect number of arguments (16), expecting 17 for qpgen2
>    PK>
>    PK> I’ve installed R version 2.10.1 on Windows 7 (32 bit) with
>    PK> updated CTV
>    PK> Finance.
>    PK>
>    PK> Interestingly, this problem only appeared after a
>    PK> while. Initially,
>    PK> everything worked fine, but suddenly, without doing something
>    PK> special,
>    PK> this error appeared. I already completely uninstalled R,
>    PK> rebooted the PC
>    PK> and re-installed R (including updated CTV Finance), but it
>    PK> did not help
>    PK> at all.
>    PK>
>    PK> I highly would appreciate any help. I already spent quite a
>    PK> lot of time
>    PK> to find a solution, but there is not a lot of help available.
>    PK>
>    PK> Best regards,
>    PK>
>    PK> Peter Keller
> Hi Peter,
> The mentioned error is due to a change in the new version of
> quadprog package and a direct call of the Fortran routine in fPortfolio.
> We have already updated the devel version of fPortfolio on R-forge. As
> soon as we have run all test, we will upload a new version of
> fPortfolio to CRAN.
> You can either wait until the new pkg is on CRAN or compile it from
> source and get the devel code from R-forge. More info 
> http://r-forge.r-project.org/scm/?group_id=156
> Regards,
> Yohan

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