[R-SIG-Finance] ta-lib & quantlib libraries for R
jorge.nieves at moorecap.com
Wed May 26 16:02:19 CEST 2010
On this same topic, I just took a look at the list of functions from the
quantlib library compiled within R, and I do not see the functions
related to inflation related securities. Inflation functionality is
already available in the quantlib
I am working in a project that requires the inflation functions at the
moment. I was wondering if anyone has compiled those functions outside
of the RQuantLib package. I am not proficient how to go about compiling
those Quantlib functions to use them within R. Could someone explain how
the process works?
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Dirk
Sent: Wednesday, May 26, 2010 07:36 AM
To: Jeff Ryan
Cc: r-sig-finance at stat.math.ethz.ch; Joseph Wang;
balakrishnan.ilango at thomsonreuters.com
Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
On 26 May 2010 at 06:17, Jeff Ryan wrote:
| There is no ta-lib in R, but there is a great TA package called TTR:
And I'd argue that TA-lib with its fixed-width array is a poor match
| And quantlib is indeed wrapped for R, or at least parts of:
Yup. Thanks for the links!
There is also a 'experimental' export of all of QuantLib to R using
Swig, but it isn't to the best of my knowledge all that actively
maintained (Hi, Joe!).
It is also unwieldy as it exports all hidden and visible symbols -- last
time I tried there were more than 15,000 in the package namespave.
And if the OP couldn't find the answer to his initial questions, I
suppose he doesn't have the Google Juice (TM pending) to get that going
either. But just in case, a somewhat recent thread is at
It would be nice if someone gave Joe a hand with this, but it requires
C++ and S4 and Swig/Python skills which is not exactly common.
| On Wed, May 26, 2010 at 6:12 AM,
<balakrishnan.ilango at thomsonreuters.com>wrote:
| > Hi,
| > I have been searching for ta-lib and quantlib libraries for R. I
| > couldn't find it. Can you help me with the source?
| > Thanks,
| > Balakrishnan Ilango
| > Sales Manager - Investment & Advisory
| > South Asia
| > Thomson Reuters
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| > Mumbai - 400001, India
| > Tel: +91 22 6636 7328
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| > Email: balakrishnan.ilango at thomsonreuters.com
| > <mailto:balakrishnan.ilango at thomsonreuters.com>
| > web: www.thomsonreuters.com <http://www.thomsonreuters.com/>
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| Jeffrey Ryan
| jeffrey.ryan at insightalgo.com
| ia: insight algorithmics
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