Hi Thierry,
Below is the function
setMethod("initialize",
signature("TermStructure"),
function(.Object,...,
tradedate = "character",
period = "numeric",
date = "character",
spotrate = "numeric",
forwardrate = "numeric",
TwoYearFwd = "numeric",
TenYearFwd = "numeric")
{
.Object@tradedate = tradedate
.Object@period = period
.Object@date = date
.Object@spotrate = spotrate
.Object@forwardrate = forwardrate
.Object@TwoYearFwd = TwoYearFwd
.Object@TenYearFwd = TenYearFwd
return(.Object)
callNextMethod(.Object,...)
})
#' The TermStructure constructor function it is a wrapper function around the
package termstrc
#'
#' This is a wrapper function around the R package termstrc. The function passes swap rate data
#' cash flows the to termstrc and creates the TermStructure object used by
Bondlab.
#' The function call rates data processes the yield curve and derives cashflow
#' for the daily close swap curve. A Rates object must be called in the local
#' environment for this function to work.
#' @param rates.data A character string representing the data for which the user
#' would like to call the swap curve
#' @param method A character string indicating the fitting method ns = Nelson
Siegel, dl = Diebold Lee,
#' sv = Severson, asv = adjusted Severson, cs = cubic spline (not yet
implemented in Bond Lab).
#' For addiition details see the termstrc documentation.
#' @examples
#' \dontrun{
#' TermStructure(rates.data = "01-10-2013", method = "ns")}
#' @importFrom lubridate %m+%
#' @importFrom lubridate years
#' @importFrom lubridate day
#' @importFrom lubridate month
#' @importFrom termstrc estim_nss estim_cs spotrates forwardrates
#'@export TermStructure
TermStructure <- function(rates.data = "character", method = "character"){
#function(trade.date = "character", method = "character")
#Error Trap User inputs to the function
if(missing(rates.data)) stop("missing rates data object")
# this is the code snippet that works in MAC but not windows
#Default to Nelson-Siegel
if(missing(method)) method = "ns"
#Default to parametric
if(method == "cs") stop("cubic spline not implemented")
#Check that the user input a valid method
CheckMethod <- c("ns", "dl", "sv", "asv", "cs")
if(!method %in% CheckMethod) stop ("Invalid 'method' Value")
# pass the yield curve to the function
rates.data <- rates.data
#set the column counter to make cashflows for termstrucutre
ColCount <- as.numeric(ncol(rates.data))
Mat.Years <- as.numeric(rates.data[2,2:ColCount])
Coupon.Rate <- as.numeric(rates.data[1,2:ColCount])
Issue.Date <- as.Date(rates.data[1,1])
#initialize coupon bonds S3 class
#This can be upgraded when bondlab has portfolio function
ISIN <- vector()
MATURITYDATE <- vector()
ISSUEDATE <- vector()
COUPONRATE <- vector()
PRICE <- vector()
ACCRUED <- vector()
CFISIN <- vector()
CF <- vector()
DATE <- vector()
CASHFLOWS <- list(CFISIN,CF,DATE)
names(CASHFLOWS) <- c("ISIN","CF","DATE")
TODAY <- vector()
data <- list()
TSInput <- list()
### Assign Values to List Items #########
data = NULL
data$ISIN <- colnames(rates.data[2:ColCount])
data$ISSUEDATE <- rep(as.Date(rates.data[1,1]),ColCount - 1)
data$MATURITYDATE <-
sapply(Mat.Years, function(Mat.Years = Mat.Years, Issue = Issue.Date)
{Maturity = if(Mat.Years < 1) {Issue %m+% months(round(Mat.Years * months.in.year))} else
{Issue %m+% years(as.numeric(Mat.Years))}
return(as.character(Maturity))
})
data$COUPONRATE <- ifelse(Mat.Years < 1, 0, Coupon.Rate)
data$PRICE <- ifelse(Mat.Years < 1, (1 + (Coupon.Rate/100))^(Mat.Years * -1) * 100, 100)
data$ACCRUED <- rep(0, ColCount -1)
for(j in 1:(ColCount-1)){
Vector.Length <- as.numeric(round(difftime(data[[3]][j],
data[[2]][j],
units =
c("weeks"))/weeks.in.year,0))
Vector.Length <- ifelse(Vector.Length < 1, 1, Vector.Length * pmt.frequency)
#pmt.frequency should be input
data$CASHFLOWS$ISIN <- append(data$CASHFLOWS$ISIN, rep(data[[1]][j],Vector.Length))
data$CASHFLOWS$CF <- append(data$CASHFLOWS$CF,
as.numeric(c(rep((data[[4]][j]/100/pmt.frequency), Vector.Length-1) * min.principal,
(min.principal + (data$COUPONRATE[j]/100/pmt.frequency)* min.principal))))
by.months = ifelse(data[[4]][j] == 0, round(difftime(data[[3]][j], rates.data[1,1])/days.in.month), 6)
# this sets the month increment so that cashflows can handle discount bills
data$CASHFLOWS$DATE <- append(data$CASHFLOW$DATE,
seq(as.Date(rates.data[1,1]) %m+% months(as.numeric(by.months)),
as.Date(data[[3]][j]), by = as.character(paste(by.months, "months", sep = " "))))
} #The Loop Ends here and the list is made
data$TODAY <- as.Date(rates.data[1,1])
TSInput[[as.character(rates.data[1,1])]] <- c(data)
#set term strucuture input (TSInput) to class couponbonds
class(TSInput) <- "couponbonds"
#Fit the term structure of interest rates
if(method != "cs") {TSFit <- estim_nss(dataset = TSInput,
group = as.character(rates.data[1,1]),
matrange = "all", method = method)} else
{TSFit <- estim_cs(bonddata = TSInput,
group = as.character(rates.data[1,1]),
matrange = "all", rse = TRUE)}
#Return the coefficient vector to be passed in to the spot and forward rate functions
#Maybe have the method choosen based on the one that gives the smallest RMSE
Vector <- switch(method,
ns = unname(TSFit$opt_result[[1]]$par[c("beta0", "beta1", "beta2",
"tau1")]),
dl = unname(TSFit$opt_result[[1]]$par[c("beta0", "beta1",
"beta2")]),
sv = unname(TSFit$opt_result[[1]]$par[c("beta0", "beta1", "beta2", "tau1",
"beta3", "tau2")]),
asv = unname(TSFit$opt_result[[1]]$par[c("beta0", "beta1", "beta2", "tau1",
"tau2", "tau3")]),
#cs = need to figure this out
)
#Calculate the spot rate curve and determine the forward rates needed to
period <- seq(from = 1, to = 492, by = 1)
#Use the date from the cashflow file
date <- seq(as.Date(rates.data[1,1]) %m+% months(1), as.Date(data[[3]][j]), by="1
months")
spot.rate.curve <- spotrates(method = method, beta = Vector, m = seq(from = 1/12, to = 492/12, by = 1/12))
forward.rate.curve <- forwardrates(method = method, beta = Vector, m = seq(from = 1/12, to = 492/12, by = 1/12))
Two.Year.Fwd <- (((1 + spot.rate.curve[seq(from = 25, to = 385, by = 1)]) ^
(period[seq(from = 25, to = 385, by = 1)]/12) /
(1 + spot.rate.curve[seq(from = 1, to = 361, by = 1)]) ^
(period[seq(from = 1, to = 361, by = 1)]/12))^(1/2))-1
Ten.Year.Fwd <- (((1 + spot.rate.curve[seq(from = 121, to = 481, by = 1)]) ^
(period[seq(from = 121, to = 481, by = 1)]/12) /
(1 + spot.rate.curve[seq(from = 1, to = 361, by = 1)]) ^
(period[seq(from = 1, to = 361, by = 1)]/12))^(1/10))-1
new("TermStructure",
tradedate = as.character(rates.data[1,1]),
period = as.numeric(period),
date = as.character(date),
spotrate = spot.rate.curve,
forwardrate = forward.rate.curve,
TwoYearFwd = Two.Year.Fwd,
TenYearFwd = Ten.Year.Fwd
)
}
setGeneric("TermStructure",
function(rates.data = "character", method = "character")
{standardGeneric("TermStructure")})
On May 11, 2015, at 01:54 AM, Thierry Onkelinx <thierry.onkel...@inbo.be> wrote:
Dear Glenn,
We need more details on the function. Please provide a commented, minimal,
self-contained version of the function that reproduces the problem (as the
posting guide asks you to do).
Best regards,
ir. Thierry Onkelinx
Instituut voor natuur- en bosonderzoek / Research Institute for Nature and Forest
team Biometrie & Kwaliteitszorg / team Biometrics & Quality Assurance
Kliniekstraat 25
1070 Anderlecht
Belgium
To call in the statistician after the experiment is done may be no more than
asking him to perform a post-mortem examination: he may be able to say what the
experiment died of. ~ Sir Ronald Aylmer Fisher
The plural of anecdote is not data. ~ Roger Brinner
The combination of some data and an aching desire for an answer does not ensure that a reasonable answer can be extracted from a given body of data. ~ John Tukey
2015-05-11 3:03 GMT+02:00 Glenn Schultz <glennmschu...@me.com>:
Hello All,
Testing my code on a Windows based machine today. There seems to be an offending line of
code. I have pasted it below. Basically, I check to see if the user passed a fit method
to TermStructure and if not then default to "ns".
The above works fine on my Mac but a windows build errors no method. I have to pass a
method = "ns" in the function. If I pass the value for method to the function
it will run with no error. Any thoughts are appreciated.
Best Regards,
Glenn
#Default method for TermStructure
if(missing(method)) method = "ns"
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and provide commented, minimal, self-contained, reproducible code.
______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
