using C function from other package in Rcpp

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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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