[R] How to use termstrc functions?

David Winsemius dwinsemius at comcast.net
Fri Mar 20 19:25:04 CET 2009 

There is probably a greater density of potential users on the SIG- 
Finance mailing list.

I still think you attribute special powers to that function that the  
authors never build into it. It does not predict the future. It  
doesn't even simulate the future. It just reformats into a matrix the  
data it is given in the form of a list. It does no calculations:

 > create_cashflows_matrix
function (group, include_price = FALSE)
{
     n_of_cf <- summary(factor(group$CASHFLOWS$ISIN, levels = group 
$ISIN))
     n_of_bonds <- length(n_of_cf)
     max_cf <- max(n_of_cf)
     pos_cf <- c(0, cumsum(n_of_cf))
     CASHFLOWMATRIX <- mapply(function(i) c(group$CASHFLOWS 
$CF[(pos_cf[i] +
         1):pos_cf[i + 1]], rep(0, max_cf - n_of_cf[i])), 1:n_of_bonds)
     if (include_price == TRUE) {
         CASHFLOWMATRIX <- rbind(-(group[["PRICE"]] +  
group[["ACCRUED"]]),
             CASHFLOWMATRIX)
     }
     colnames(CASHFLOWMATRIX) <- group$ISIN
     CASHFLOWMATRIX
}

-- 
David Winsemius

On Mar 20, 2009, at 1:52 PM, Chirantan Kundu wrote:

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

David Winsemius, MD
Heritage Laboratories
West Hartford, CT

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