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?
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> 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);
> }
>
>
>
> --
> Three out of two people have difficulties with fractions.
>
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