Multivariate regression library for C++ under Windows

[lolatency]

Quote from mizhael:

How about other methods of connecting R to C++/Java? Say socket?

I think the best way is to call R functions from within C++/Java.

Why is DCOm bad?

I think it's important to get R working with C++/Java so you could leverage other functionalities of R.

That's a lot of work for what should just be a simple regression. People have coded this a million times, so... I should just have functions that let me construction a design matrix and then get the t and f stats.

In any case, QuantLib does what I want. I have it compiled, and I am satisfied with it.