I'm trying to call a C routine from the cubature package in a c++ function to perform multidimensional integration.
The basic R example I'm trying to reproduce is
library(cubature)
integrand <- function(x) sin(x)
adaptIntegrate(integrand, 0, pi)
I could just call this R function from Rcpp following this recipe from the gallery, but there would be some performance penalty in switching back and forth from c/c++ to R. It seems more sensible to directly call the C function from C++.
The C routine adapt_integrate is exported from cubature with
 // R_RegisterCCallable("cubature", "adapt_integrate", (DL_FUNC) adapt_integrate);
I don't understand how to call it from c++, however. Here's my lame attempt,
sourceCpp(code = '
#include <Rcpp.h>
using namespace Rcpp;
// [[Rcpp::export]]
double integrand(double x){
 return(sin(x));
}
// [[Rcpp::depends(cubature)]]
// [[Rcpp::export]]
Rcpp::List integratecpp(double llim, double ulim)
{
  Rcpp::Function p_cubature = R_GetCCallable("cubature", "adapt_integrate");
  Rcpp::List result = p_cubature(integrand, llim, ulim);
  return(result);
}
'
)
integratecpp(0, pi)
This fails to compile; clearly I'm doing something very silly and missing some important steps to convert the output of R_GetCCallable into an Rcpp::Function (or call it directly?). I've read several related posts dealing with function pointers, but haven't seen an example using an external C function.
Unfortunately cubature does not ship the headers in inst/include, so you have to borrow that from them and do something like this in your code: 
typedef void (*integrand) (unsigned ndim, const double *x, void *,
           unsigned fdim, double *fval);
int adapt_integrate(
    unsigned fdim, integrand f, void *fdata,
    unsigned dim, const double *xmin, const double *xmax, 
    unsigned maxEval, double reqAbsError, double reqRelError, 
    double *val, double *err)
{
    typedef int (*Fun)(unsigned,integrand,void*,unsigned,
        const double*,const double*, unsigned, double, double, double*, double*) ;
    Fun fun = (Fun) R_GetCCallable( "cubature", "adapt_integrate" ) ;           
    return fun(fdim,f,fdata,dim,xmin,xmax,maxEval,reqAbsError, reqRelError,val,err); 
}
It might be a good idea to negociate with the maintainer of cubature that he ships declarations in inst/include so that you'd only have to use LinkingTo. 
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