Hi
I'm trying to implement something similar to the following R snippet using
C. I seem to have hit the wall on accessing class slots using C.
library(fPortfolio)
lppData<- 100 * LPP2005.RET[, 1:6]
ewSpec<- portfolioSpec()
nAssets<- ncol(lppData)
setWeights(ewSpec)<- rep(1/nAssets, times = nAssets)
ewPortfolio<- feasiblePortfolio(
data = lppData,
spec = ewSpec,
constraints = "LongOnly")
ewSpec is an object of type Portfolio Spec which has the following slots:
model slot
type = "MV" a string value
optimize = "minRisk" a string value
estimator = "covEstimator" a function name
tailRisk = list() a list
params =
list(alpha=0.05, a=1, ...) a list
portfolio slot a list
weights = NULL a numeric vector
targetReturn = NULL a numeric value
targetRisk = NULL a numeric value
riskFreeRate = 0 a numeric value
nFrontierPoints = 50 an integer value
status = NA) a integer value
optim slot a list
solver = "solveRquadprog" a function names
objective = NULL function names
options = list() a list with parameters
control = list() a list with controls
trace = FALSE) a logical
messages slot: a list
list = list() a list
I want to set the weights so that I can compute a feasiblePortfolio.
Unfortunately I cannot figure out how to do this from C.
Here is what I wrote so far:
#include<stdio.h>
#include<R.h>
#include<Rinternals.h>
#include<Rdefines.h>
#include<Rembedded.h>
int main(int argc, char** argv)
{
SEXP
e,c,portSpec,portData,portConstr,portVal,portWeights,tsAssets,tsReturns,nAssets,reciprocal;
int errorOccurred,nx,ny,i,j;
double *v;
const char *x,*y;
Rf_initEmbeddedR(argc, argv);
// loading fPortfolio
PROTECT(e = lang2(install("library"), mkString("fPortfolio")));
R_tryEval(e, R_GlobalEnv, NULL);
UNPROTECT(1);
// creating a default portfolioSpec object
PROTECT(e=lang1(install("portfolioSpec")));
PROTECT(portSpec=R_tryEval(e,R_GlobalEnv, NULL));
// creating a portfolioData object
PROTECT(e=lang4(install("c"),mkString("SBI"),mkString("SPI"),mkString("SII")));
PROTECT(tsAssets=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang4(install("["),install("SWX.RET"),R_MissingArg,tsAssets));
PROTECT(tsReturns=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang3(install("*"),ScalarInteger(100),tsReturns));
PROTECT(tsReturns=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang3(install("portfolioData"),tsReturns,portSpec));
PROTECT(portData=R_tryEval(e,R_GlobalEnv,NULL));
// Creating a portfolio constraints string
PROTECT(portConstr=mkString("LongOnly"));
// Setting weights
PROTECT(e=lang2(install("ncol"),tsReturns));
PROTECT(nAssets=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang3(install("/"),ScalarInteger(1),nAssets));
PROTECT(reciprocal=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang3(install("rep"),reciprocal,nAssets));
PROTECT(portWeights=R_tryEval(e,R_GlobalEnv,NULL));
// Right now the program crashes here. It says: Cannot find function
"setWeights"
// How do I set the weights? It's a standard numeric vector. I'm confused on
access class slots from C.
// Not much is writted on this in the R extensions manual.
PROTECT(e=lang3(install("setWeights"),portSpec,portWeights));
PROTECT(portSpec=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang2(install("print"),portSpec));
R_tryEval(e,R_GlobalEnv,NULL);
UNPROTECT(3);
Rf_endEmbeddedR(0);
return 0;
}
Regards
Abhijit Bera
