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

Fri May 28 21:50:52 CEST 2010

Dirk  thanks for clarifying. Indeed, I do not know the difference from one to another. I am for the most part an end user.  I honestly do not the details of what it is involved for having the QuantLib up and running within  R. I figured this could be an opportunity for me to understated. So, having said that my offer to help still stands provided that someone explains me what and how.

Jorge Nieves

-----Original Message-----
From: Dirk Eddelbuettel [mailto:edd at debian.org] 
Sent: Friday, May 28, 2010 03:36 PM
To: Jorge Nieves
Cc: Khanh Nguyen; Dirk Eddelbuettel; Jeff Ryan; 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

Jorge,

On 28 May 2010 at 15:22, Jorge Nieves wrote:
| I am not sure if you have seen Joseph Wang's earlier emails today. He indicated that there is some work related to adding the inflation functions into the "Quantlib-SWIG."  I am checking details tonight to help with the process. Is that what you are offering to do too? Will you be helping with this process?

With all due respect, you had missed the hint by Joe that Quantlib-Swig was different from RQuantLib.  Quantlib-Swig is more comprehensive, more ambitious and (in my humble but biased opinion) quite a bit harder to set-up.

So what Khanh offered you is pretty kind as you probably have RQuantLib's ease of use (eg: binaries from CRAN) in mind.

That said, the community could do with a few more helping hands.  So if this leads to more code (and documentation and unit tests and ...) getting into RQuantLib then I am all for it.

Dirk 

| Jorge Nieves
| 
| 
| -----Original Message-----
| From: Khanh Nguyen [mailto:nguyen.h.khanh at gmail.com]
| Sent: Friday, May 28, 2010 03:15 PM
| To: Jorge Nieves
| Cc: Dirk Eddelbuettel; Jeff Ryan; 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
| 
| If you already had the functions implemented, I can help you integrating them into R using RQuantLib..
| 
| -k
| 
| On Wed, May 26, 2010 at 10:02 AM, Jorge Nieves <jorge.nieves at moorecap.com> wrote:
| >
| > 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 
| > http://quantlib.sourcearchive.com/documentation/0.9.9/annotated.html
| >
| > 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?
| >
| > Thanks,
| >
| > Jorge Nieves
| >
| >
| > -----Original Message-----
| > From: r-sig-finance-bounces at stat.math.ethz.ch
| > [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Dirk 
| > Eddelbuettel
| > 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 
| > anyway.
| >
| > | http://cran.r-project.org/web/packages/TTR/index.html
| > |
| > | And quantlib is indeed wrapped for R, or at least parts of:
| > |
| > | http://dirk.eddelbuettel.com/code/rquantlib.html
| > | http://cran.r-project.org/web/packages/RQuantLib/index.html
| >
| > 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
| >
| >        http://thread.gmane.org/gmane.comp.finance.quantlib.user/6544
| >
| > It would be nice if someone gave Joe a hand with this, but it 
| > requires strong
| > C++ and S4 and Swig/Python skills which is not exactly common.
| >
| > Dirk
| >
| > | HTH
| > | Jeff
| > |
| > |
| > |
| > | 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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| > | > Email: balakrishnan.ilango at thomsonreuters.com
| > | > <mailto:balakrishnan.ilango at thomsonreuters.com>
| > | >
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| > | >
| > | >
| > | >
| > | >        [[alternative HTML version deleted]]
| > | >
| > | > _______________________________________________
| > | > R-SIG-Finance at stat.math.ethz.ch mailing list 
| > | > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > | > -- Subscriber-posting only. If you want to post, subscribe first.
| > | > -- Also note that this is not the r-help list where general R 
| > | > questions should go.
| > | >
| > |
| > |
| > |
| > | --
| > | Jeffrey Ryan
| > | jeffrey.ryan at insightalgo.com
| > |
| > | ia: insight algorithmics
| > | www.insightalgo.com
| > |
| > |       [[alternative HTML version deleted]]
| > |
| > | _______________________________________________
| > | R-SIG-Finance at stat.math.ethz.ch mailing list 
| > | https://stat.ethz.ch/mailman/listinfo/r-sig-finance
| > | -- Subscriber-posting only. If you want to post, subscribe first.
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| > questions should go.
| >
| > --
| >  Regards, Dirk
| >
| > _______________________________________________
| > R-SIG-Finance at stat.math.ethz.ch mailing list 
| > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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| > questions should go.
| >
| > _______________________________________________
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| > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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| > -- Also note that this is not the r-help list where general R questions should go.
| >

--
  Regards, Dirk