1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
|
// RQuantLib wrapper implmenentation
//
// Copyright 2014 Dirk Eddelbuettel <edd@debian.org>
//
// This program is free software; you can redistribute it and/or modify
// it under the terms of the GNU General Public License as published by
// the Free Software Foundation; either version 2 of the License, or
// (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU General Public License for more details.
//
// You should have received a copy of the GNU General Public License
// along with RcppArmadillo. If not, see <http://www.gnu.org/licenses/>.
#ifndef _rquantlib_impl_h_
#define _rquantlib_impl_h_
#include "rquantlib_internal.h"
// define template specialisations for as and wrap
namespace Rcpp {
static const unsigned int QLtoJan1970Offset = 25569; // Offset to R / Unix epoch
inline unsigned int getQLtoJan1970offset(void) { return QLtoJan1970Offset; }
template <> QuantLib::Date as(SEXP dtsexp) {
Rcpp::Date dt(dtsexp);
return QuantLib::Date(static_cast<int>(dt.getDate()) + QLtoJan1970Offset);
}
template <> SEXP wrap(const QuantLib::Date &d) {
double dt = static_cast<double>(d.serialNumber()); // QL::BigInteger can cast to double
return Rcpp::wrap(Rcpp::Date(dt - QLtoJan1970Offset));
}
// non-intrusive extension via template specialisation
template <> std::vector<QuantLib::Date> as(SEXP dtvecsexp) {
Rcpp::DateVector dtvec(dtvecsexp);
int n = dtvec.size();
std::vector<QuantLib::Date> dates(n);
for (int i = 0; i<n; i++){
#if RCPP_VERSION >= Rcpp_Version(0,12,8)
//dates[i] = QuantLib::Date(static_cast<int>(dtvec[i]) + QLtoJan1970Offset);
dates[i] = QuantLib::Date(static_cast<int>(Rcpp::Date(dtvec[i]).getDate()) + QLtoJan1970Offset);
#else
dates[i] = QuantLib::Date(static_cast<int>(dtvec[i].getDate()) + QLtoJan1970Offset);
#endif
}
return dates;
}
// non-intrusive extension via template specialisation
template <> SEXP wrap(const std::vector<QuantLib::Date> &dvec) {
int n = dvec.size();
Rcpp::DateVector dtvec(n);
for (int i = 0; i<n; i++) {
// QL::BigInteger can cast to double
double dt = static_cast<double>(dvec[i].serialNumber());
dtvec[i] = Rcpp::Date(dt - QLtoJan1970Offset);
}
return Rcpp::wrap(dtvec);
}
}
#endif
|
