Dear R forum, I have following data.frames
dat = data.frame(id = c(1:3), root = c(0.10, 0.20, 0.74), maturity_period = c(20, 155, 428), mtm = c(1000, 10000, 100000), curve = c("USD", "USD", "USD")) > dat id root maturity_period mtm curve 1 1 0.10 20 1e+03 USD 2 2 0.20 155 1e+04 USD 3 3 0.74 428 1e+05 USD standard_tenors = data.frame(T = c("1m", "3m", "6m", "12m", "5yr"), D = c(30, 91, 182, 365, 1825)) > standard_tenors T D 1 1m 30 2 3m 91 3 6m 182 4 12m 365 5 5yr 1825 # ................................................................................................................. library(plyr) T = standard_tenors$T D = standard_tenors$D n = length(standard_tenors$T) mtm_split_function = function(maturity_period, curve, root, mtm) { for(i in 1:(n-1)) { if (maturity_period < D[i]) { N1 = paste(curve, T[i], sep ="_") N2 = paste(curve, T[i], sep ="_") PV1 = mtm PV2 = 0 }else if (maturity_period > D[i] & maturity_period < D[i+1]) { N1 = paste(curve, T[i], sep ="_") N2 = paste(curve, T[1+1], sep ="_") PV1 = (mtm)*root PV2 = (mtm)*(1-root) }else if (maturity_period > D[i+1]) { N1 = paste(curve, T[i], sep ="_") N2 = paste(curve, T[i], sep ="_") PV1 = 0 PV2 = mtm } } return(data.frame(Risk_factor1 = N1, Risk_factor2 = N2, Risk_factor1_mtm = PV1, Risk_factor2_mtm = PV2)) } # ..................................................................................................................... splitted_mtm <- ddply(.data = dat, .variables = "id", .fun=function(x) mtm_split_function(maturity_period = x$maturity_period, curve = x$curve, root = x$root, mtm = x$mtm)) # OUTPUT I am getting id Risk_factor1 Risk_factor2 Risk_factor1_mtm Risk_factor2_mtm 1 1 USD_12m USD_12m 1000 0 2 2 USD_12m USD_12m 10000 0 3 3 USD_12m USD_3m 74000 26000 # My PROBLEM However, My OUTPUT should be id Risk_factor1 Risk_factor2 Risk_factor1_mtm Risk_factor2_mtm 1 1 USD_1m USD_1m 1000 0 2 2 USD_3m USD_6m 2000 8000 3 3 USD_12m USD_5yr 74000 26000 Kindly guide With warm regards Katherine [[alternative HTML version deleted]]
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