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Interface between kdb+ and rmathlib
C C++ Shell
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Update sde.q

Add dW(t) for CIR and GBM processes
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README.md

Q/RMathLib interface

This is a simple interface between the standalone R mathlib and kdb+/q.

The source contains the following:

  • rmath.h/rmath.c - source files (rmath.h contains exported function definitions)
  • rmath_aux.q - extra Q definitions and helpers
  • process.sh - generates Q import lib scripts
  • Makefіle - simple makefile

Sample

In a q session:

 q) \l rmath.q
 q) x:rnorm 1000     / create 1000 normal variates
 q) summary x        / simple statistical summary of x
 q) hist[x;10]       / show histogram (bin count) with 10 bins
 q) y:scale x        / x = (x - mean(x))/sd(x)
 q) quantile[x;.5]   / calculate the 50% quantile
 q) pnorm[0;1.5;1.5] / cdf value for 0 for a N(1.5,1.5) distribution
 q) dnorm[0;1.5;1.5] / normal density at 0 for N(1.5;1.5) distribution

See

http://www.theresearchkitchen.com/archives/835

http://www.theresearchkitchen.com/archives/847

http://www.theresearchkitchen.com/archives/896

for more details

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