[R] How to use termstrc functions?

[Chirantan Kundu]

Actually I was looking for someone who has some experience in using
the package. Anyway, thanks for your input.

On Fri, Mar 20, 2009 at 10:51 PM, David Winsemius
<dwinsemius at comcast.net> wrote:
> 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
>
>
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