Rcpp -> Run C++ code in R.I haven't used this but here's a convoluted answer. Use bilingual C++/CLI (a .NET language) that interfaces with both C# and native C++. (we did its using a front-end Excel-DNA application to Quantlib code). You do have to write some wrapper classes but it's very easy. We (DD/MK) have two planned Wilmott articles on this approach.
So its like C# -> C++/CLI -> Natives.
Just an idea.
Rcpp could be the native in this case.
https://cran.r-project.org/web/packages/Rcpp/index.html
I see. I was a bit quick of the mark in this case.Rcpp -> Run C++ code in R.I haven't used this but here's a convoluted answer. Use bilingual C++/CLI (a .NET language) that interfaces with both C# and native C++. (we did its using a front-end Excel-DNA application to Quantlib code). You do have to write some wrapper classes but it's very easy. We (DD/MK) have two planned Wilmott articles on this approach.
So its like C# -> C++/CLI -> Natives.
Just an idea.
Rcpp could be the native in this case.
https://cran.r-project.org/web/packages/Rcpp/index.html
You're welcome.Thanks for the insight. This look practical using multiple R functions but for now R.NET seems to be holding up fine. Hoping there will be something standardized in the future. Looking forward to the articles, love leveraging the speed of C++.