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// -*- mode: C++; c-indent-level: 4; c-basic-offset: 4; indent-tabs-mode: nil; -*-
//
// Another simple example inspired by an r-devel mail by Abhijit Bera
//
// Copyright (C) 2009 Dirk Eddelbuettel
// Copyright (C) 2010 Dirk Eddelbuettel and Romain Francois
#include <RInside.h> // for the embedded R via RInside
#include <iomanip>
int main(int argc, char *argv[]) {
try {
RInside R(argc, argv); // create an embedded R instance
std::string txt =
"suppressMessages(library(fPortfolio)); "
"lppData <- 100 * LPP2005.RET[, 1:6]; "
"ewSpec <- portfolioSpec(); "
"nAssets <- ncol(lppData); ";
R.parseEvalQ(txt); // prepare problem
const double dvec[6] = { 0.1, 0.1, 0.1, 0.1, 0.3, 0.3 }; // choose any weights
const std::vector<double> w(dvec, &dvec[6]);
R["weightsvec"] = w; // assign weights
txt = "setWeights(ewSpec) <- weightsvec";
R.parseEvalQ(txt); // evaluate assignment
txt =
"ewPf <- feasiblePortfolio(data=lppData, spec=ewSpec, constraints=\"LongOnly\");"
"print(ewPf); "
"vec <- getCovRiskBudgets(ewPf@portfolio)";
Rcpp::NumericVector V( (SEXP) R.parseEval(txt) );
Rcpp::CharacterVector names( (SEXP) R.parseEval("names(vec)"));
std::cout << "\n\nAnd now from C++\n\n";
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);
}
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