Dear R forum,
(Pl note this is not a finance problem)
I have two data.frames as
currency_df = data.frame(current_date = c("3/4/2013", "3/4/2013", "3/4/2013",
"3/4/2013"), issue_date = c("27/11/2012", "9/12/2012", "14/01/2013",
"28/02/2013"), maturity_date = c("27/04/2013", "3/5/2013", "14/6/2013",
"28/06/2013"), currency = c("USD", "USD", "GBP", "SEK"), other_currency =
c("EURO", "CAD", "CHF", "USD"), transaction = c("Buy", "Buy", "Sell", "Buy"),
units_currency = c(100000, 25000, 150000, 40000), units_other_currency =
c(78000, 25350, 99200, 6150))
rate_df =
data.frame(date =
c("28/3/2013","27/3/2013","26/3/2013","25/3/2013","28/3/2013","27/3/2013","26/3/2013",
"25/3/2013","28/3/2013","27/3/2013","26/3/2013","25/3/2013","28/3/2013","27/3/2013","26/3/2013",
"25/3/2013","28/3/2013","27/3/2013","26/3/2013","25/3/2013","28/3/2013","27/3/2013","26/3/2013",
"25/3/2013","28/3/2013","27/3/2013","26/3/2013","25/3/2013","28/3/2013","27/3/2013","26/3/2013",
"25/3/2013","28/3/2013","27/3/2013","26/3/2013","25/3/2013"),
currency = c("USD","USD","USD","USD", "USD", "USD", "USD","USD","USD","USD",
"USD","USD", "GBP","GBP","GBP","GBP","GBP","GBP","GBP","GBP", "GBP","GBP",
"GBP","GBP", "EURO","EURO","EURO","EURO","EURO","EURO","EURO", "EURO",
"EURO","EURO", "EURO","EURO"),
tenor = c("1 day","1 day","1 day","1 day","1 week","1 week","1 week","1
week","2 weeks","2 weeks","2 weeks","2 weeks","1 day","1 day","1 day","1
day","1 week","1 week","1 week","1 week","2 weeks","2 weeks","2 weeks","2
weeks","1 day","1 day","1 day","1 day","1 week","1 week","1 week","1 week","2
weeks","2 weeks","2 weeks","2 weeks"),
rate =
c(0.156,0.157,0.157,0.155,0.1752,0.1752,0.1752,0.1752,0.1752,0.1752,0.1752,
0.1752,0.48625,
0.485,0.48625,0.4825,0.49,0.49125,0.4925,0.49,0.49375,0.49125,0.4925,
0.49125,0.02643,0.02214,
0.02214,0.01929,0.034,0.034,0.034125,0.034,0.044,0.044, 0.041,0.045))
# _______________________________________________________
# 1st data.frame
> currency_df
current_date issue_date maturity_date currency
1 3/4/2013 27/11/2012 27/04/2013 USD
2 3/4/2013 9/12/2012 3/5/2013 USD
3 3/4/2013 14/01/2013 14/6/2013 GBP
4 3/4/2013 28/02/2013 28/06/2013 SEK
other_currency transaction units_currency
1
EURO Buy 100000
2 CAD Buy 25000
3 CHF Sell 150000
4 USD Buy 40000
units_other_currency
1 78000
2
25350
3 99200
4 6150
#
.......................................................................................
# 2nd data.frame
> rate_df
date currency tenor rate
1 28/3/2013 USD 1 day 0.156000
2 27/3/2013 USD 1 day 0.157000
3 26/3/2013 USD 1 day 0.157000
4 25/3/2013 USD 1 day 0.155000
5 28/3/2013 USD 1 week 0.175200
6 27/3/2013 USD 1 week
0.175200
7 26/3/2013 USD 1 week 0.175200
8 25/3/2013 USD 1 week 0.175200
9 28/3/2013 USD 2 weeks 0.175200
10 27/3/2013 USD 2 weeks 0.175200
11 26/3/2013 USD 2 weeks 0.175200
12 25/3/2013 USD 2 weeks 0.175200
13 28/3/2013 GBP 1 day 0.486250
14 27/3/2013 GBP 1 day 0.485000
15 26/3/2013 GBP 1 day 0.486250
16 25/3/2013 GBP 1 day 0.482500
17 28/3/2013 GBP 1 week 0.490000
18 27/3/2013 GBP 1 week 0.491250
19 26/3/2013 GBP 1 week 0.492500
20
25/3/2013 GBP 1 week 0.490000
21 28/3/2013 GBP 2 weeks 0.493750
22 27/3/2013 GBP 2 weeks 0.491250
23 26/3/2013 GBP 2 weeks 0.492500
24 25/3/2013 GBP 2 weeks 0.491250
25 28/3/2013 EURO 1 day 0.026430
26 27/3/2013 EURO 1 day 0.022140
27 26/3/2013 EURO 1 day 0.022140
28 25/3/2013 EURO 1 day 0.019290
29 28/3/2013 EURO 1 week 0.034000
30 27/3/2013 EURO 1 week 0.034000
31 26/3/2013 EURO 1 week 0.034125
32 25/3/2013 EURO 1 week 0.034000
33 28/3/2013 EURO 2 weeks 0.044000
34
27/3/2013 EURO 2 weeks 0.044000
35 26/3/2013 EURO 2 weeks 0.041000
36 25/3/2013 EURO 2 weeks 0.045000
# ___________________________________________________
Using plyr and reshape libraries, I have converted the rate_df into tabular
form as
date USD_1 day USD_1 week USD_2 weeks GBP_1 day
1 25/3/2013 0.155 0.1752 0.1752 0.48250
2 26/3/2013 0.157 0.1752 0.1752 0.48625
3 27/3/2013 0.157 0.1752 0.1752 0.48500
4 28/3/2013 0.156 0.1752 0.1752 0.48625
GBP_1 week GBP_2 weeks EURO_1 day EURO_1 week
1 0.49000 0.49125 0.01929 0.034000
2 0.49250 0.49250 0.02214 0.034125
3 0.49125 0.49125 0.02214 0.034000
4 0.49000 0.49375 0.02643 0.034000
EURO_2 weeks
1 0.045
2 0.041
3 0.044
4 0.044
# __________________________________________________________
Depending on the maturity period, I have defined discount rates as
# FOR USD
if
(as.character(currency) ==
"USD")
{
if
(as.character(other_currency) == "GBP" & days_to_maturity <= 1)
{
libor_rate1 = df_LIBOR_rates$USD_o_n
libor_rate2 = df_LIBOR_rates$GBP_o_n
}
else if (as.character(other_currency) == "EURO" & days_to_maturity <= 1)
{
libor_rate1 = df_LIBOR_rates$USD_o_n
libor_rate2 = df_LIBOR_rates$EUR_o_n
}
......................
......................
if
(as.character(other_currency) == "GBP" & (days_to_maturity > 1 &
days_to_maturity <= 7))
{
libor_rate1 = df_LIBOR_rates$USD_1w
libor_rate2 = df_LIBOR_rates$GBP_1w
}
else if (as.character(other_currency) == "EURO" & (days_to_maturity > 1 &
days_to_maturity <= 7))
{
libor_rate1 = df_LIBOR_rates$USD_1w
libor_rate2 = df_LIBOR_rates$EUR_1w
}
............................
............................
Similarly for other currencies too ...
# __________________________________________________
# My PROBLEM
In reality, I am dealing with at least (for the time being and will only
increase in future) 10 currencies (LIBORs) only and each currency has about 15
tenors. So effectively, I have ended up writing 45*15*15 = 10125 such "if
statements" only for assigning the rates depending on the tenor. (Tenors are
overnight, 1 week, 2 weeks, 1 month, 2 months, 3 months, 4 months, 5 months, 6
months, 7 months, 8 months, 9 months, 10 months, 11 months, 12 months).
The code is working and I am able to achieve what I need to. But, I think this
is a foolish method of assigning the rates and each time a new currency is
added, I will have to rewrite the whole code again. Also, the processing time
is tremendous as it's taking me at least 10+ minutes.
I am not a professional and hence this is my earnest request -
Is it possible or is there any other way to assign the rates depending on the
currency, other currency and tenor and also
depending on the maturity period where maturity period is the difference in
days between the maturity_date and current_date?
Kindly guide
Katherine
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