On 09/30/2009 09:45 AM, Abhijit Bera wrote:
Hi
I'm pulling financial datasets from a DB, converting it to a timeseries
object then creating a returns object out of it.
Right, so the data is in the database.
I plan to embed R into an application, which is why I'm taking this
route of using C.
Sure. My point is (take it or leave it) since you are already using some
R packages (fPortfolio, etc ...) why don't you just write one that
contains a set of simple utility functions that are only aimed at
simplifying your C code, and call these from C.
I'd find this much easier to code, document and test ... but eventually
you should do what __you__ find easier/better
Romain
Regards
Abhijit
On Wed, Sep 30, 2009 at 12:07 PM, Romain Francois
<romain.franc...@dbmail.com <mailto:romain.franc...@dbmail.com>> wrote:
On 09/30/2009 08:51 AM, Abhijit Bera wrote:
Hi
Thanks all of you for your suggestions. I will put up my code
shortly based
on your suggestions.
I wonder how the parsing and eval will work when most of my data
comes in
from an external source like a DB? Probably it would be more
efficient to
make an object? Hmmmm... maybe it has to be a mix of parsing and
eval?
What's in the database ? Is this the data or the R code ? What's
wrong with writing your own set of R functions and evaluate calls to
these functions instead of basically replicate this in C or C++ or
whatever.
Dirk's code certainly is nicer, but would you really do it like that
in real life ?
Romain
Yes, the lang4 c idea sucks. mkstring is better.
Regards
Abhijit
On Tue, Sep 29, 2009 at 11:55 PM, Dirk
Eddelbuettel<e...@debian.org <mailto:e...@debian.org>> wrote:
This is so much fun. The C code posted wasn't exactly
legible. So here is
a
new C++ variant that I just committed to the RInside SVN as
a new example.
And it mine works (against RInide and Rcpp as on CRAN):
e...@ron:~/svn/rinside/pkg/inst/examples> ./rinside_sample4
Package 'sn', 0.4-12 (2009-03-21). Type 'help(SN)' for
summary information
Using the GLPK callable library version 4.37
Title:
MV Feasible Portfolio
Estimator: covEstimator
Solver: solveRquadprog
Optimize: minRisk
Constraints: LongOnly
Portfolio Weights:
SBI SPI SII LMI MPI ALT
0.1 0.1 0.1 0.1 0.3 0.3
Covariance Risk Budgets:
SBI SPI SII LMI MPI ALT
-0.0038 0.1423 0.0125 -0.0058 0.4862 0.3686
Target Return and Risks:
mean mu Cov Sigma CVaR VaR
0.0548 0.0548 0.4371 0.4371 1.0751 0.6609
Description:
Tue Sep 29 13:43:36 2009 by user:
SBI -0.00380065
SPI 0.142261
SII 0.0125242
LMI -0.00576251
MPI 0.486228
ALT 0.368551
e...@ron:~/svn/rinside/pkg/inst/examples>
The final few lines are C++ accessing the result, earlier in
the code I
assign the weight vector from C++ as you desired from C.
All with error
checking / exception handling and what have in under 60
lines of (IMHO more
readable) code -- see below.
Dirk
// -*- mode: C++; c-indent-level: 4; c-basic-offset: 4;
tab-width: 8; -*-
//
// Another simple example inspired by an r-devel mail by
Abhijit Bera
//
// Copyright (C) 2009 Dirk Eddelbuettel and GPL'ed
#include "RInside.h" // for the embedded
R via RInside
#include "Rcpp.h" // for the R / Cpp
interface used
for transfer
#include<iomanip>
int main(int argc, char *argv[]) {
try {
RInside R(argc, argv); // create an
embedded R instance
SEXP ans;
std::string txt =
"suppressMessages(library(fPortfolio))";
if (R.parseEvalQ(txt)) // load library, no
return value
throw std::runtime_error("R cannot evaluate '" +
txt + "'");
txt = "lppData<- 100 * LPP2005.RET[, 1:6]; "
"ewSpec<- portfolioSpec(); "
"nAssets<- ncol(lppData); ";
if (R.parseEval(txt, ans)) // prepare problem
throw std::runtime_error("R cannot evaluate '" +
txt + "'");
const double dvec[6] = { 0.1, 0.1, 0.1, 0.1, 0.3,
0.3 }; // choose
any weights you want
const std::vector<double> w(dvec,&dvec[6]);
R.assign( w, "weightsvec"); // assign STL vector
to R's
'weightsvec' variable
txt = "setWeights(ewSpec)<- weightsvec";
if (R.parseEvalQ(txt)) // evaluate assignment
throw std::runtime_error("R cannot evaluate '" +
txt + "'");
txt = "ewPortfolio<- feasiblePortfolio(data =
lppData, spec =
ewSpec, constraints = \"LongOnly\"); "
"print(ewPortfolio); "
"vec<- getCovRiskBudgets(ewportfo...@portfolio)";
if (R.parseEval(txt, ans)) // assign
covRiskBudget weights to
ans
throw std::runtime_error("R cannot evaluate '" +
txt + "'");
RcppVector<double> V(ans); // convert SEXP
variable to an
RcppMatrix
R.parseEval("names(vec)", ans); // assign columns
names to ans
RcppStringVector names(ans);
for (int i=0; i<names.size(); i++) {
std::cout<< std::setw(16)<< names(i)<< "\t"
<< std::setw(11)<< V(i)<< "\n";
}
} catch(std::exception& ex) {
std::cerr<< "Exception caught: "<< ex.what()<<
std::endl;
} catch(...) {
std::cerr<< "Unknown exception caught"<< std::endl;
}
exit(0);
}
--
Romain Francois
Professional R Enthusiast
+33(0) 6 28 91 30 30
http://romainfrancois.blog.free.fr
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