[R] How to use termstrc functions?

[David Winsemius]

How could I (or anyone for that matter) possibly answer that question?

David Winsemius, MD
Heritage Laboratories
West Hartford, CT


On Mar 20, 2009, at 1:07 PM, Chirantan Kundu wrote:

> 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
>>
>>
> ____________________________________
> Visit us at http://www.2pirad.com
>

David Winsemius, MD
Heritage Laboratories
West Hartford, CT