Table of Contents
FinancialFunctions is an RStudio project to demonstrate creating an R package using Rcpp (https://cran.r-project.org/web/packages/Rcpp/index.html). The project exposes some native C++ functions to R. If you are interested in writing code in C++ and being able to call it from R, then this project might be of interest to you.
The C++ functions that are exposed to R/RStudio are based on finance, specifically basic fixed income pricing, only because I am somewhat familiar with this area. In reality, any area would do (statistics, machine learning, natural language processing, and so on) because the focus of the project is on using Rcpp to allow us to call C++ functions.
There are several other articles that cover using Rcpp:
- https://www.r-bloggers.com/2021/07/using-r-calling-c-code-with-rcpp/
- https://dirk.eddelbuettel.com/papers/rcpp_rfinance_may2012.pdf
- https://dirk.eddelbuettel.com/papers/rcpp_workshop_introduction_user2012.pdf
- http://adv-r.had.co.nz/Rcpp.html
My intention here was to create a simple but realistic package that can be copied, extended and reused.
For reference, the project uses the following versions of R/RStudio:
- R version 4.4.1 (2024-06-14 ucrt) -- "Race for Your Life"
- RStudio 2024.04.2+764 "Chocolate Cosmos" Release (e4392fc9ddc21961fd1d0efd47484b43f07a4177, 2024-06-05) for windows
- Rtools, version 4.4
The project can be downloaded from the GitHub repository in the usual way.
The solution consists of a single project: FinancialFunctions.Rproj
The project structure is generated using the RStudio File > New Project ... menu and selecting the R Package project type.
The following directories and files are created:
\man\FinancialFunctions-package.Rd
This is an R markdown template file that is used for describing the package. You can edit this in RStudio. Pressing the Preview button displays the formatted contents in the Help window.
\R\RcppExports.R
This file contains the R language function calls generated by Rcpp.
\src\RcppExports.cpp
This file contains the C++ functions generated by Rcpp.
\src\rcpp_functions.cpp
(This was renamed from rcpp_hello_world.cpp). This contains the rcpp functions that connect the R functions to the C++ code.
- \src\FinancialFunctions.h
- \src\FinancialFunctions.cpp
These contain the C++ source code that we want to call from R.
There are two functions declared in the header file: price and ytm (yield-to-maturity).
The price function computes the present value of a stream of periodic cashflows using a single discount rate. The yield-to-maturity function computes the single rate of return implied by the periodic cashflows and the price (present value).
The price function takes a vector of times and a vector of cashflows (for a bond these are the coupons and the final principal repayment). In addition, the function takes a single rate, which is used to discount all the cashflows.
The yield-to-maturity function also takes a vector of times and a vector of cashflows (as above) and a (bond) price. From this, it iteratively determines the single rate at which the periodic stream of cashflows should be discounted to obtain the supplied price.
DESCRIPTION
This file contains descriptive information about this package (Package name, Type, Version, Date, Author, and so on). It also contains metadata about the package dependencies.
NAMESPACE
This file contains three directives. Firstly, useDynLib(...) ensures that the dynamic library that is part of this package is loaded and registered. Next, the importFrom(...) directive imports variables from other packages (other than baseR, which are always imported). In this case, we import variables from the Rcpp and the evalCpp packages. The final directive, exportPattern(...), declares which identifiers should be globally visible from the namespace of this package. The default is to export all identifiers that start with a letter. This is defined in the regular expression.
The CHANGELOG.md, LICENSE.md and README.md (this document)are part of the project repository.
There is a separate test directory that contains code to test the functions:
-
FinancialFunctions.R This is a simple example/test of the basic functionality.
-
FinancialFunctions.xlsx This is a spreadsheet that replicates the bond price and yield-to-maturity calculations.
-
TestFinancialFunctions.cpp This is a C++ test which can be built and run (and debugged) from Visual Studio code. This requires some additional setup of VSCode to support C++ development. See https://code.visualstudio.com/docs/languages/cpp for a description of how to do this.
Rcpp
- Open the
.Rprojfile in RStudio. - Ensure that you have installed Rcpp. If not, run
install.packages("Rcpp") - Select Build binary package from the Build menu.
- If the build has been successful, you should find a file FinancialFunctions_1.0.zip in the install location.
- Open the zip file and copy the contents of FinancialFunctions into your ..\R\R-4.4.1\library directory.
- Run the example file FinancialFunctions.R
Future directions:
See the open issues for a full list of proposed features (and known issues).
Distributed under the GPL-3.0 License. See LICENSE.md for more information.
Adam Gladstone - (https://www.linkedin.com/in/adam-gladstone-b6458b156/)
Project Link: https://github.com/Adam-Gladstone/FinancialFunctions
Helpful resources
