R or Cpp for some finance work involved complex numbers?What programming languages are most commonly used in quantitative finance?Refer some most recent books of derivatives pricing by C++GBM in R giving negative numbers?
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R or Cpp for some finance work involved complex numbers?
What programming languages are most commonly used in quantitative finance?Refer some most recent books of derivatives pricing by C++GBM in R giving negative numbers?
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I need to implement some pricing functions which involve complex numbers. The equations involve various expressions such as $Re$ and $Img$ (i.e the real and imaginary part of the complex number), and I need to do some Fast Fourier Transforms and other things. Obviously the end result is always real, but the intermediate calculations are complex.
I have never used complex numbers before when I have programmed, so is there something particular I should be aware of? I want to use either R or C++: which would be more suitable for handling complex numbers? Are there any computational difficulties when dealing with complex numbers?
programming
asked 8 hours ago
ToloponiAdionoToloponiAdiono
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I need to implement some pricing functions which involve complex numbers. The equations involve various expressions such as $Re$ and $Img$ (i.e the real and imaginary part of the complex number), and I need to do some Fast Fourier Transforms and other things. Obviously the end result is always real, but the intermediate calculations are complex.
I have never used complex numbers before when I have programmed, so is there something particular I should be aware of? I want to use either R or C++: which would be more suitable for handling complex numbers? Are there any computational difficulties when dealing with complex numbers?
programming
asked 8 hours ago
ToloponiAdionoToloponiAdiono
161 bronze badge
New contributor
ToloponiAdiono is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
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A very warm welcome to Quant.SE! Thank you for question, please see my answer below.
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– vonjd
7 hours ago
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...for "your" question, of course ;-)
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– vonjd
5 hours ago
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$begingroup$
I need to implement some pricing functions which involve complex numbers. The equations involve various expressions such as $Re$ and $Img$ (i.e the real and imaginary part of the complex number), and I need to do some Fast Fourier Transforms and other things. Obviously the end result is always real, but the intermediate calculations are complex.
I have never used complex numbers before when I have programmed, so is there something particular I should be aware of? I want to use either R or C++: which would be more suitable for handling complex numbers? Are there any computational difficulties when dealing with complex numbers?
programming
asked 8 hours ago
ToloponiAdionoToloponiAdiono
161 bronze badge
New contributor
ToloponiAdiono is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
I need to implement some pricing functions which involve complex numbers. The equations involve various expressions such as $Re$ and $Img$ (i.e the real and imaginary part of the complex number), and I need to do some Fast Fourier Transforms and other things. Obviously the end result is always real, but the intermediate calculations are complex.
I have never used complex numbers before when I have programmed, so is there something particular I should be aware of? I want to use either R or C++: which would be more suitable for handling complex numbers? Are there any computational difficulties when dealing with complex numbers?
programming
programming
asked 8 hours ago
ToloponiAdionoToloponiAdiono
161 bronze badge
New contributor
ToloponiAdiono is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 8 hours ago
ToloponiAdionoToloponiAdiono
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asked 8 hours ago
ToloponiAdionoToloponiAdiono
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asked 8 hours ago
ToloponiAdionoToloponiAdiono
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asked 8 hours ago
ToloponiAdionoToloponiAdiono
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A very warm welcome to Quant.SE! Thank you for question, please see my answer below.
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– vonjd
7 hours ago
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...for "your" question, of course ;-)
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– vonjd
5 hours ago
add a comment
|
1
$begingroup$
A very warm welcome to Quant.SE! Thank you for question, please see my answer below.
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– vonjd
7 hours ago
$begingroup$
...for "your" question, of course ;-)
$endgroup$
– vonjd
5 hours ago
1
1
$begingroup$
A very warm welcome to Quant.SE! Thank you for question, please see my answer below.
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– vonjd
7 hours ago
$begingroup$
A very warm welcome to Quant.SE! Thank you for question, please see my answer below.
$endgroup$
– vonjd
7 hours ago
$begingroup$
...for "your" question, of course ;-)
$endgroup$
– vonjd
5 hours ago
$begingroup$
...for "your" question, of course ;-)
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5 hours ago
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1 Answer
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Why choose? C++ is perfectly integrated into R via the excellent Rcpp package (on CRAN). And you can use complex numbers there too:
library(Rcpp)
cppFunction("ComplexVector doubleMe(ComplexVector x) return x+x; ")
doubleMe(1+1i)
## [1] 2+2i
doubleMe(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
I would suggest starting out with R and if you run into performance problems, use C++ via Rcpp.
Just for reference, the same as above in Base R:
doubleMeR <- function(x) x+x
doubleMeR(1+1i)
## [1] 2+2i
doubleMeR(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
answered 7 hours ago
vonjdvonjd
20.2k9 gold badges80 silver badges139 bronze badges
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1 Answer
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1 Answer
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$begingroup$
Why choose? C++ is perfectly integrated into R via the excellent Rcpp package (on CRAN). And you can use complex numbers there too:
library(Rcpp)
cppFunction("ComplexVector doubleMe(ComplexVector x) return x+x; ")
doubleMe(1+1i)
## [1] 2+2i
doubleMe(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
I would suggest starting out with R and if you run into performance problems, use C++ via Rcpp.
Just for reference, the same as above in Base R:
doubleMeR <- function(x) x+x
doubleMeR(1+1i)
## [1] 2+2i
doubleMeR(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
answered 7 hours ago
vonjdvonjd
20.2k9 gold badges80 silver badges139 bronze badges
$endgroup$
add a comment
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$begingroup$
Why choose? C++ is perfectly integrated into R via the excellent Rcpp package (on CRAN). And you can use complex numbers there too:
library(Rcpp)
cppFunction("ComplexVector doubleMe(ComplexVector x) return x+x; ")
doubleMe(1+1i)
## [1] 2+2i
doubleMe(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
I would suggest starting out with R and if you run into performance problems, use C++ via Rcpp.
Just for reference, the same as above in Base R:
doubleMeR <- function(x) x+x
doubleMeR(1+1i)
## [1] 2+2i
doubleMeR(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
answered 7 hours ago
vonjdvonjd
20.2k9 gold badges80 silver badges139 bronze badges
$endgroup$
add a comment
|
$begingroup$
Why choose? C++ is perfectly integrated into R via the excellent Rcpp package (on CRAN). And you can use complex numbers there too:
library(Rcpp)
cppFunction("ComplexVector doubleMe(ComplexVector x) return x+x; ")
doubleMe(1+1i)
## [1] 2+2i
doubleMe(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
I would suggest starting out with R and if you run into performance problems, use C++ via Rcpp.
Just for reference, the same as above in Base R:
doubleMeR <- function(x) x+x
doubleMeR(1+1i)
## [1] 2+2i
doubleMeR(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
answered 7 hours ago
vonjdvonjd
20.2k9 gold badges80 silver badges139 bronze badges
$endgroup$
Why choose? C++ is perfectly integrated into R via the excellent Rcpp package (on CRAN). And you can use complex numbers there too:
library(Rcpp)
cppFunction("ComplexVector doubleMe(ComplexVector x) return x+x; ")
doubleMe(1+1i)
## [1] 2+2i
doubleMe(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
I would suggest starting out with R and if you run into performance problems, use C++ via Rcpp.
Just for reference, the same as above in Base R:
doubleMeR <- function(x) x+x
doubleMeR(1+1i)
## [1] 2+2i
doubleMeR(c(1+1i, 2+2i))
## [1] 2+2i 4+4i
answered 7 hours ago
vonjdvonjd
20.2k9 gold badges80 silver badges139 bronze badges
edited 5 hours ago
answered 7 hours ago
vonjdvonjd
20.2k9 gold badges80 silver badges139 bronze badges
answered 7 hours ago
vonjdvonjd
20.2k9 gold badges80 silver badges139 bronze badges
answered 7 hours ago
vonjdvonjd
20.2k9 gold badges80 silver badges139 bronze badges
20.2k9 gold badges80 silver badges139 bronze badges
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$begingroup$
A very warm welcome to Quant.SE! Thank you for question, please see my answer below.
$endgroup$
– vonjd
7 hours ago
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...for "your" question, of course ;-)
$endgroup$
– vonjd
5 hours ago