Hi Joseph / Hi Dirk / Hi Klaus,
I've been writing to Joseph as a "final user" of QL-Swig on R, exposing what I experienced. 
As a quant I believe R-Swig and Rcpp are the most promising projects for doing "heavy" mathematical finance at the top level and you guys are doing a superb job, the idea to join your forces is exciting and it could results in a very good QL solution for R quants.

The following is my feeling about Swig/Rcpp mix.

The main advantage by using Swig is that QL objects get not destroyed (as it happens in RQuantLib). A very simple example: suppose one builds a interest rates curve, then frequently one needs to add a term structure of spreads over that curve, therefore the initial "curve" object needs to be available.

For doing monte carlo pricing R-Swig is too slow and one is forced to switch to C++.
To give the user a smooth experience I think that Swig+Rcpp+Inline is the right answer. 
IMO people doing finance would prefer typing directly C++, here the top would be
  1. Write C++ inside R source and get a smooth compilation through Inline enhanced with Swig to generate the wrap (for pass/get C++ objects and SEXP structs)  
  2. Link against Rcpp library to program inside C++ almost like in R
  3. Having the possibility to parallelize code (es. using openmp)

I think the real core for Swig-Rcpp collaboration is point 1.
I'd like to know what you think about, thanks.


2013/7/14 Joseph Wang <joequant@gmail.com>
This is a wild idea, but I'm wondering if it would be possible to set
up SWIG to create deep wrapping of interfaces.  In other words have
enough things within SWIG so that when you write something within an
interpreted language, it pushes the loop into C++.