[R-SIG-Finance] ta-lib & quantlib libraries for R

[Jorge Nieves]

Ok.. I will take a look in detail tonight.  


Jorge Nieves
Moore Capital 
Telephone 212.782.7083
Fax 212.642.7644

-----Original Message-----
From: Joseph Wang [mailto:joequant at gmail.com] 
Sent: Friday, May 28, 2010 10:01 AM
To: Jorge Nieves
Cc: quantlib-dev at lists.sourceforge.net; Dirk Eddelbuettel; Jeff Ryan; r-sig-finance at stat.math.ethz.ch; balakrishnan.ilango at thomsonreuters.com
Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R

The first thing is to check out Quantlib-SWIG from

https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib-SWIG/

and build the R bindings.  There are build instructions in the distribution and test examples.

Once you have that done it's a matter of looking at the .hpp file of the objects you want to bind.  Find a similar object in the SWIG directory and then transform the .hpp declaration adding it to the file SWIG/inflation.i

For example what I did to create the inflation collar instruments is that I cut and paste the non-inflation collar instruments and then modified the signatures to match the .hpp files.  The one thing that I might have to rework is how Seasonality is written so that it gets passed around using boost shared pointers.

On Fri, May 28, 2010 at 9:48 AM, Jorge Nieves <jorge.nieves at moorecap.com> wrote:
> If you explain me the process, I think I can help.
>
>
> Jorge Nieves
>
>
> -----Original Message-----
> From: Joseph Wang [mailto:joequant at gmail.com]
> Sent: Friday, May 28, 2010 09:47 AM
> To: Jorge Nieves
> Cc: quantlib-devel at lists.sourceforge.net; Dirk Eddelbuettel; Jeff 
> Ryan; r-sig-finance at stat.math.ethz.ch; 
> balakrishnan.ilango at thomsonreuters.com
> Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
>
> I just checked in a file inflation.i into Quantlib-SWIG which provides 
> bindings for some of the inflation based instruments.  It's very sparse.
> I'll try to add the other instruments over time, but it's likely to be 
> slow to add (i.e. a few weeks), but if there are any volunteers that 
> would want to add to the file, let me know and I'll check in any 
> additions.
>
> What needs to be done is pretty mechanical (cut and paste) things.
>