Hi
I'm pulling financial datasets from a DB, converting it to a timeseries
object then creating a returns object out of it.
I plan to embed R into an application, which is why I'm taking this route of
using C.
Regards
Abhijit
On Wed, Sep 30, 2009 at 12:07 PM, Romain Francois <
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>
>> 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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>
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