[R] How to use termstrc functions?

[Chirantan Kundu]

Thanks for the help. RATING & NAME are not required for this call as
par documentation. About the CASHFLOWS I'm not sure as I'm going to
call create_cashflows_matrix which is supposed to return me the
cashflow matrix. Do I still need to have the CASHFLOWSlist in the
structure?

On Fri, Mar 20, 2009 at 9:48 PM, David Winsemius <dwinsemius at comcast.net> wrote:
> Besides needing a grouped structure and not calling that function with a
> group name, your sub-structure does not seem complete when compared with the
> AAA group within the example dataset;
>
>> str(allbonds)  # your structure
> List of 1
>  $ mybonds:List of 7
>  ..$ ISIN        : chr [1:2] "IN0020080019" "IN0020020163"
>  ..$ MATURITYDATE:Class 'Date'  num [1:2] 14244 14974
>  ..$ STARTDATE   :Class 'Date'  num [1:2] 11323 11688
>  ..$ COUPONRATE  : num [1:2] 8.24 7.95
>  ..$ PRICE       : num [1:2] 50 100
>  ..$ ACCRUED     : num [1:2] 5 2
>  ..$ TODAY       :Class 'Date'  num [1:2] 14323 14323
>
>> str(corpbonds$AAA)
> List of 10
>  $ ISIN        : chr [1:20] "XS0078921441" "XS0079017637" "XS0090078907"
> "XS0119246626" ...
>  $ MATURITYDATE:Class 'Date'  num [1:20] 14476 15212 16680 15631 14203 ...
>  $ STARTDATE   :Class 'Date'  num [1:20] 10093 10099 10471 11248 11281 ...
>  $ COUPONRATE  : num [1:20] 0.0563 0.0575 0.0512 0.0587 0.0575 ...
>  $ RATING      : Factor w/ 10 levels "A","A-","A+",..: 7 7 7 7 7 7 7 7 7 7
> ...
>  $ NAME        : Factor w/ 249 levels "4.88 BP CAPITAL MARKETS PLC
> 31-MAR-09",..: 109 109 109 109 109 109 229 153 109 149 ...
>  $ PRICE       : num [1:20] 108 113 112 115 108 ...
>  $ ACCRUED     : num [1:20] 1.328 1.262 1.039 0.451 5.671 ...
>  $ CASHFLOWS   :List of 3
>  ..$ ISIN: chr [1:126] "XS0078921441" "XS0078921441" "XS0078921441"
> "XS0078921441" ...
>  ..$ CF  : num [1:126] 5.61 5.61 5.62 105.62 5.78 ...
>  ..$ DATE:Class 'Date'  num [1:126] 13381 13745 14111 14476 13388 ...
>  $ TODAY       :Class 'Date'  num 13102
>
> On Mar 20, 2009, at 12:05 PM, David Winsemius wrote:
>
>>
>> On Mar 20, 2009, at 10:15 AM, Chirantan Kundu wrote:
>>
>>> Here it goes -
>>>
>>> library(termstrc)
>>> ISIN <- vector()
>>> ISIN[1]<-"IN0020080019"
>>> ISIN[2]<-"IN0020020163"
>>> MATURITYDATE<-as.Date(c("20081231","20101231"),"%Y%m%d")
>>> STARTDATE<-as.Date(c("20010101","20020101"),format="%Y%m%d")
>>> COUPONRATE<-c(8.24,7.95)
>>> PRICE<-(50,100)
>>> ACCRUED<-c(5,2)
>>> TODAY<-c(Sys.Date(),Sys.Date())
>>> mybonds <- list(ISIN,MATURITYDATE,STARTDATE,
>>> COUPONRATE,PRICE,ACCRUED,TODAY)
>>> names(mybonds) <- c("ISIN","MATURITYDATE","STARTDATE","COUPONRATE",
>>> "PRICE","ACCRUED","TODAY")
>>> allbonds <- list(mybonds)
>>> names(allbonds)<-c("mybonds")
>>> create_cashflows_matrix(allbonds)
>>>
>>>
>>> I also tried -
>>>
>>> library(termstrc)
>>> data(corpbonds)
>>> create_cashflows_matrix(corpbonds)
>>
>> Your collection of bonds need to be organized in groups and the call to
>> create_cashflows_matrix needs to call those groups by name. In the case of
>> the corpbonds dataset, this call gets you output:
>>
>> create_cashflows_matrix( corpbonds$AAA )
>>
>> --
>> David Winsemius
>>>
>>>
>>> Both result into the same error - Error in as.vector(x, mode) :
>>> invalid 'mode' argument.
>>> Regards.
>>>
>>> On Fri, Mar 20, 2009 at 7:09 PM, David Winsemius <dwinsemius at comcast.net>
>>> wrote:
>>>>
>>>> Got code?
>>>>
>>>> On Mar 20, 2009, at 8:15 AM, Chirantan Kundu wrote:
>>>>>
>>>>> I'm trying to use the package termstrc. However I cannot figure out
>>>>> how to invoke helper functions like create_cashflows_matrix &
>>>>> create_maturities_matrix. Even when I try to invoke those with the
>>>>> data supplied with the package (say, corpbonds), it throws error
>>>>> saying "Error in as.vector(x, mode) : invalid 'mode' argument". Can
>>>>> anybody provide some working example for these?
>>>>> I'm on Windows XP and using R-2.7.2 + termstrc 1.1.
>>>>>
>>>>>
>>>>> PLEASE do read the posting guide
>>>>> http://www.R-project.org/posting-guide.html
>>>>> and provide commented, minimal, self-contained, reproducible code.
>>>>
>>>> David Winsemius, MD
>>>> Heritage Laboratories
>>>> West Hartford, CT
>>>>
>>>>
>>> ____________________________________
>>> Visit us at http://www.2pirad.com
>>>
>>
>> David Winsemius, MD
>> Heritage Laboratories
>> West Hartford, CT
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> 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.
>
> David Winsemius, MD
> Heritage Laboratories
> West Hartford, CT
>
>
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