Hi
I'm trying to implement something similar to the following R snippet using
C. I seem to have hit the wall on accessing class slots using C.
library(fPortfolio)
lppData <- 100 * LPP2005.RET[, 1:6]
ewSpec <- portfolioSpec()
nAssets <- ncol(lppData)
setWeights(ewSpec) <- rep(1/nAssets, times = nAssets)
ewPortfolio <- feasiblePortfolio(
data = lppData,
spec = ewSpec,
constraints = "LongOnly")
ewSpec is an object of type Portfolio Spec which has the following slots:
model slot
type = "MV" a string value
optimize = "minRisk" a string value
estimator = "covEstimator" a function name
tailRisk = list() a list
params list(alpha=0.05, a=1, ...) a list
portfolio slot a list
weights = NULL a numeric vector
targetReturn = NULL a numeric value
targetRisk = NULL a numeric value
riskFreeRate = 0 a numeric value
nFrontierPoints = 50 an integer value
status = NA) a integer value
optim slot a list
solver = "solveRquadprog" a function names
objective = NULL function names
options = list() a list with parameters
control = list() a list with controls
trace = FALSE) a logical
messages slot: a list
list = list() a list
I want to set the weights so that I can compute a feasiblePortfolio.
Unfortunately I cannot figure out how to do this from C.
Here is what I wrote so far:
#include <stdio.h>
#include <R.h>
#include <Rinternals.h>
#include <Rdefines.h>
#include <Rembedded.h>
int main(int argc, char** argv)
{
SEXP
e,c,portSpec,portData,portConstr,portVal,portWeights,tsAssets,tsReturns,nAssets,reciprocal;
int errorOccurred,nx,ny,i,j;
double *v;
const char *x,*y;
Rf_initEmbeddedR(argc, argv);
// loading fPortfolio
PROTECT(e = lang2(install("library"),
mkString("fPortfolio")));
R_tryEval(e, R_GlobalEnv, NULL);
UNPROTECT(1);
// creating a default portfolioSpec object
PROTECT(e=lang1(install("portfolioSpec")));
PROTECT(portSpec=R_tryEval(e,R_GlobalEnv, NULL));
// creating a portfolioData object
PROTECT(e=lang4(install("c"),mkString("SBI"),mkString("SPI"),mkString("SII")));
PROTECT(tsAssets=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang4(install("["),install("SWX.RET"),R_MissingArg,tsAssets));
PROTECT(tsReturns=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang3(install("*"),ScalarInteger(100),tsReturns));
PROTECT(tsReturns=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang3(install("portfolioData"),tsReturns,portSpec));
PROTECT(portData=R_tryEval(e,R_GlobalEnv,NULL));
// Creating a portfolio constraints string
PROTECT(portConstr=mkString("LongOnly"));
// Setting weights
PROTECT(e=lang2(install("ncol"),tsReturns));
PROTECT(nAssets=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang3(install("/"),ScalarInteger(1),nAssets));
PROTECT(reciprocal=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang3(install("rep"),reciprocal,nAssets));
PROTECT(portWeights=R_tryEval(e,R_GlobalEnv,NULL));
// Right now the program crashes here. It says: Cannot find function
"setWeights"
// How do I set the weights? It's a standard numeric vector. I'm
confused on
access class slots from C.
// Not much is writted on this in the R extensions manual.
PROTECT(e=lang3(install("setWeights"),portSpec,portWeights));
PROTECT(portSpec=R_tryEval(e,R_GlobalEnv,NULL));
PROTECT(e=lang2(install("print"),portSpec));
R_tryEval(e,R_GlobalEnv,NULL);
UNPROTECT(3);
Rf_endEmbeddedR(0);
return 0;
}
Regards
Abhijit Bera
[[alternative HTML version deleted]]
Hi, There is a GET_SLOT macro in Rdefines.h Cheers, Romain On 09/29/2009 04:28 PM, Abhijit Bera wrote:> > Hi > > I'm trying to implement something similar to the following R snippet using > C. I seem to have hit the wall on accessing class slots using C. > > library(fPortfolio) > > lppData<- 100 * LPP2005.RET[, 1:6] > ewSpec<- portfolioSpec() > nAssets<- ncol(lppData) > setWeights(ewSpec)<- rep(1/nAssets, times = nAssets) > > ewPortfolio<- feasiblePortfolio( > data = lppData, > spec = ewSpec, > constraints = "LongOnly") > > ewSpec is an object of type Portfolio Spec which has the following slots: > > model slot > type = "MV" a string value > optimize = "minRisk" a string value > estimator = "covEstimator" a function name > tailRisk = list() a list > params > list(alpha=0.05, a=1, ...) a list > portfolio slot a list > weights = NULL a numeric vector > targetReturn = NULL a numeric value > targetRisk = NULL a numeric value > riskFreeRate = 0 a numeric value > nFrontierPoints = 50 an integer value > status = NA) a integer value > optim slot a list > solver = "solveRquadprog" a function names > objective = NULL function names > options = list() a list with parameters > control = list() a list with controls > trace = FALSE) a logical > messages slot: a list > list = list() a list > > I want to set the weights so that I can compute a feasiblePortfolio. > Unfortunately I cannot figure out how to do this from C. > > Here is what I wrote so far: > > #include<stdio.h> > #include<R.h> > #include<Rinternals.h> > #include<Rdefines.h> > #include<Rembedded.h> > > int main(int argc, char** argv) > { > > SEXP > e,c,portSpec,portData,portConstr,portVal,portWeights,tsAssets,tsReturns,nAssets,reciprocal; > int errorOccurred,nx,ny,i,j; > double *v; > const char *x,*y; > > Rf_initEmbeddedR(argc, argv); > > // loading fPortfolio > PROTECT(e = lang2(install("library"), mkString("fPortfolio"))); > R_tryEval(e, R_GlobalEnv, NULL); > UNPROTECT(1); > > > // creating a default portfolioSpec object > PROTECT(e=lang1(install("portfolioSpec"))); > PROTECT(portSpec=R_tryEval(e,R_GlobalEnv, NULL)); > > // creating a portfolioData object > > > PROTECT(e=lang4(install("c"),mkString("SBI"),mkString("SPI"),mkString("SII"))); > PROTECT(tsAssets=R_tryEval(e,R_GlobalEnv,NULL)); > > PROTECT(e=lang4(install("["),install("SWX.RET"),R_MissingArg,tsAssets)); > PROTECT(tsReturns=R_tryEval(e,R_GlobalEnv,NULL)); > > PROTECT(e=lang3(install("*"),ScalarInteger(100),tsReturns)); > PROTECT(tsReturns=R_tryEval(e,R_GlobalEnv,NULL)); > > PROTECT(e=lang3(install("portfolioData"),tsReturns,portSpec)); > PROTECT(portData=R_tryEval(e,R_GlobalEnv,NULL)); > > // Creating a portfolio constraints string > PROTECT(portConstr=mkString("LongOnly")); > > // Setting weights > PROTECT(e=lang2(install("ncol"),tsReturns)); > PROTECT(nAssets=R_tryEval(e,R_GlobalEnv,NULL)); > > PROTECT(e=lang3(install("/"),ScalarInteger(1),nAssets)); > PROTECT(reciprocal=R_tryEval(e,R_GlobalEnv,NULL)); > > PROTECT(e=lang3(install("rep"),reciprocal,nAssets)); > PROTECT(portWeights=R_tryEval(e,R_GlobalEnv,NULL)); > > // Right now the program crashes here. It says: Cannot find function > "setWeights" > // How do I set the weights? It's a standard numeric vector. I'm confused on > access class slots from C. > // Not much is writted on this in the R extensions manual. > > PROTECT(e=lang3(install("setWeights"),portSpec,portWeights)); > PROTECT(portSpec=R_tryEval(e,R_GlobalEnv,NULL)); > > PROTECT(e=lang2(install("print"),portSpec)); > R_tryEval(e,R_GlobalEnv,NULL); > > UNPROTECT(3); > > Rf_endEmbeddedR(0); > > return 0; > } > > Regards > Abhijit Bera-- Romain Francois Professional R Enthusiast +33(0) 6 28 91 30 30 http://romainfrancois.blog.free.fr |- http://tr.im/ztCu : RGG #158:161: examples of package IDPmisc |- http://tr.im/yw8E : New R package : sos `- http://tr.im/y8y0 : search the graph gallery from R
Abhijit,
as for your subject - it's GET_SLOT,
but why don't you just use ParseVector and eval instead of hand-
crafting C code that calls the evaluator? That latter is way more
error prone and the error-handling is a nightmare (your current code
is inefficient anyway so you don't gain anything).
As for setWeights, you got the code wrong - if you want to mimic the R
code then it's a call to the assignment "<-" - have a look at
the
parse result of
"setWeights(ewSpec) <- rep(1/nAssets, times = nAssets)":
@d58774 06 LANGSXP g0c0 []
@809008 01 SYMSXP g1c0 [MARK,gp=0x4000] "<-"
@d59540 06 LANGSXP g0c0 []
@1a1af34 01 SYMSXP g0c0 [] "setWeights"
@d59498 01 SYMSXP g0c0 [] "ewSpec"
@d58720 06 LANGSXP g0c0 []
@814ac4 01 SYMSXP g1c0 [MARK,gp=0x4000] "rep"
@d595b0 06 LANGSXP g0c0 []
@80ae44 01 SYMSXP g1c0 [MARK,gp=0x4000] "/"
@1bf8ce8 14 REALSXP g0c1 [] (len=1, tl=0) 1
@1dbf1ac 01 SYMSXP g0c0 [MARK] "nAssets"
TAG: @9450fc 01 SYMSXP g1c0 [MARK] "times"
@1dbf1ac 01 SYMSXP g0c0 [MARK] "nAssets"
Again, I think you would be far better off just using parse instead...
Cheers,
Simon
PS: Your PROTECTs are way off-balance, and you don't need almost any
of them - langX and listX protect all arguments
On Sep 29, 2009, at 10:28 , Abhijit Bera wrote:
> Hi
>
> I'm trying to implement something similar to the following R snippet
> using
> C. I seem to have hit the wall on accessing class slots using C.
>
> library(fPortfolio)
>
> lppData <- 100 * LPP2005.RET[, 1:6]
> ewSpec <- portfolioSpec()
> nAssets <- ncol(lppData)
> setWeights(ewSpec) <- rep(1/nAssets, times = nAssets)
>
> ewPortfolio <- feasiblePortfolio(
> data = lppData,
> spec = ewSpec,
> constraints = "LongOnly")
>
> ewSpec is an object of type Portfolio Spec which has the following
> slots:
>
> model slot
> type = "MV" a string value
> optimize = "minRisk" a string value
> estimator = "covEstimator" a function name
> tailRisk = list() a list
> params > list(alpha=0.05, a=1, ...) a list
> portfolio slot a list
> weights = NULL a numeric vector
> targetReturn = NULL a numeric value
> targetRisk = NULL a numeric value
> riskFreeRate = 0 a numeric value
> nFrontierPoints = 50 an integer value
> status = NA) a integer value
> optim slot a list
> solver = "solveRquadprog" a function names
> objective = NULL function names
> options = list() a list with parameters
> control = list() a list with controls
> trace = FALSE) a logical
> messages slot: a list
> list = list() a list
>
> I want to set the weights so that I can compute a feasiblePortfolio.
> Unfortunately I cannot figure out how to do this from C.
>
> Here is what I wrote so far:
>
> #include <stdio.h>
> #include <R.h>
> #include <Rinternals.h>
> #include <Rdefines.h>
> #include <Rembedded.h>
>
> int main(int argc, char** argv)
> {
>
> SEXP
> e
> ,c
> ,portSpec
> ,portData
> ,portConstr,portVal,portWeights,tsAssets,tsReturns,nAssets,reciprocal;
> int errorOccurred,nx,ny,i,j;
> double *v;
> const char *x,*y;
>
> Rf_initEmbeddedR(argc, argv);
>
> // loading fPortfolio
> PROTECT(e = lang2(install("library"),
mkString("fPortfolio")));
> R_tryEval(e, R_GlobalEnv, NULL);
> UNPROTECT(1);
>
>
> // creating a default portfolioSpec object
> PROTECT(e=lang1(install("portfolioSpec")));
> PROTECT(portSpec=R_tryEval(e,R_GlobalEnv, NULL));
>
> // creating a portfolioData object
>
>
> PROTECT
> (e
>
=lang4(install("c"),mkString("SBI"),mkString("SPI"),mkString("SII")));
> PROTECT(tsAssets=R_tryEval(e,R_GlobalEnv,NULL));
>
>
> PROTECT
>
(e=lang4(install("["),install("SWX.RET"),R_MissingArg,tsAssets));
> PROTECT(tsReturns=R_tryEval(e,R_GlobalEnv,NULL));
>
> PROTECT(e=lang3(install("*"),ScalarInteger(100),tsReturns));
> PROTECT(tsReturns=R_tryEval(e,R_GlobalEnv,NULL));
>
> PROTECT(e=lang3(install("portfolioData"),tsReturns,portSpec));
> PROTECT(portData=R_tryEval(e,R_GlobalEnv,NULL));
>
> // Creating a portfolio constraints string
> PROTECT(portConstr=mkString("LongOnly"));
>
> // Setting weights
> PROTECT(e=lang2(install("ncol"),tsReturns));
> PROTECT(nAssets=R_tryEval(e,R_GlobalEnv,NULL));
>
> PROTECT(e=lang3(install("/"),ScalarInteger(1),nAssets));
> PROTECT(reciprocal=R_tryEval(e,R_GlobalEnv,NULL));
>
> PROTECT(e=lang3(install("rep"),reciprocal,nAssets));
> PROTECT(portWeights=R_tryEval(e,R_GlobalEnv,NULL));
>
> // Right now the program crashes here. It says: Cannot find function
> "setWeights"
> // How do I set the weights? It's a standard numeric vector. I'm
> confused on
> access class slots from C.
> // Not much is writted on this in the R extensions manual.
>
> PROTECT(e=lang3(install("setWeights"),portSpec,portWeights));
> PROTECT(portSpec=R_tryEval(e,R_GlobalEnv,NULL));
>
> PROTECT(e=lang2(install("print"),portSpec));
> R_tryEval(e,R_GlobalEnv,NULL);
>
> UNPROTECT(3);
>
> Rf_endEmbeddedR(0);
>
> return 0;
> }
>
> Regards
> Abhijit Bera
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> R-devel at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-devel
>
>
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):
edd at 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
edd at 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(ewPortfolio at 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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