[R] Sequence generation in a table
Petr PIKAL
petr.pikal at precheza.cz
Thu Dec 9 14:07:44 CET 2010
Hi
r-help-bounces at r-project.org napsal dne 09.12.2010 13:24:17:
> Dear Sirs,
>
> I understand these already are numeric values. Sir, Basically I am
working on
> Value at Risk for the Bond portfolio using the historical simulation and
for
> this I need to find out Marked to Market (MTM) value suing the Present
Value
> of the coupon payments for each Bonds (here as an example I have taken
only 3).
>
> What I have done so far is for a given bond I have found no of days left
for
> maturity. E.g. in 1st case there are 257 days left for maturity. The
bond pays
> coupon twice a year and thus on 257th day the bond will mature and I
will be
> getting the Principal and final coupon payment. Since teh bond is paying
the
> coupons every 6 months, going backward from 257 th day, my earlier
coupon
> payment falls on (257 - 180) = 77 days. (However, in above example, I
have
> just taken 100 just for example purpose)
>
> Thus, assuming 100 days, my coupons will be paid on 257, 157, 57days. I
need
> to convert these days in terms of years and so when I try to divide yy
defined as
>
> yy <- lapply(c(257, 520,
> 110), seq, to=0, by=-100)
>
> yy/360, I get following error.
>
> Error in yy/360 : non-numeric argument to binary operator
Did you bother to read ?lapply or some intro documentation?
>
> On the other hand,
>
> yy[[1]]/365 fetches me
>
> [1] 0.7138889 0.4361111 0.1583333
I do not believe it. I got
> yy[[1]]/365
[1] 0.7041096 0.4301370 0.1561644
and as I already told you you can use lapply for almost any kind of
computation. Just try
> lapply(yy, "/", 365)
[[1]]
[1] 0.7041096 0.4301370 0.1561644
[[2]]
[1] 1.42465753 1.15068493 0.87671233 0.60273973 0.32876712 0.05479452
[[3]]
[1] 0.30136986 0.02739726
Regards
Petr
>
>
> Thus, I am trying to obtain the result yy <- lapply(c(257, 520,
> 110), seq, to=0, by=-100) in such a form, so taht I should be able to
further
> analysis. What I was trying to say is since here I am taking only three
bonds,
> so I can do it individually, however if there are number of bonds (say
1000)
> in the portfolio, my method of converting the days individually is not
practical.
>
> I am extremely sorry for the inconvenience caused. I tried to keep my
problem
> short in oder not to consume your valuable time.
>
> Regards
>
> Vince Pyne
>
>
>
> --- On Thu, 12/9/10, Petr PIKAL <petr.pikal at precheza.cz> wrote:
>
> From: Petr PIKAL <petr.pikal at precheza.cz>
> Subject: Re: [R] Sequence generation in a table
> To: "Vincy Pyne" <vincy_pyne at yahoo.ca>
> Cc: r-help at r-project.org
> Received: Thursday, December 9, 2010, 12:03 PM
>
> Hi
>
> r-help-bounces at r-project.org napsal dne 09.12.2010 12:41:47:
>
> > Dear Sir,
> >
> > Sorry to bother you again. Sir, the R code provided by you gives me
> following output.
> >
> > > yy <- lapply(c(257, 520,
> 110), seq, to=0, by=-100)
> > > yy
> > [[1]]
> > [1] 257 157 57
> >
> > [[2]]
> > [1] 520 420 320 220 120 20
> >
> > [[3]]
> > [1] 110 10
> >
> > The biggest constraint for me is here as an example I have taken only
> three
> > cases i.e. c(257, 520, 110), however in reality I will be dealing with
> no of
> > cases and that number is unknown. But your code will certainly
generate
> me the
> > required numbers. In above case for doing further calculations, I can
> define say
> >
> > yy1 = as.numeric(yy[[1]])
> > yy2 = as.numeric(yy[2]])
> > yy3 = as.numeric(yy[[3]])
>
> Why? Those values are already numeric.
>
> lapply(yy, is.numeric)
>
> [[1]]
> [1] TRUE
>
> [[2]]
> [1] TRUE
>
> [[3]]
> [1] TRUE
>
> and you can use the same construction to perform almost any operation on
> list.
>
> lapply(yy, max)
> lapply(yy,
> mean)
> lapply(yy, sd)
> lapply(yy, t.test)
>
> Regards
> Petr
>
>
> >
> > But when the number of cases are unknown, perhaps this is not the
> practical
> > way of me defining individually. So is there any way that I can have
all
> the
> > sequence numbers generated can be accommodated in a single dataframe.
I
> > sincerely apologize for disturbing you Sir and hope I am able to put
up
> my
> > problem in a proper manner.
> >
> > Regards
> >
> > Vincy Pyne
> >
> >
> > --- On Thu, 12/9/10, Jan van der Laan <rhelp at eoos.dds.nl> wrote:
> >
> > From: Jan van der Laan <rhelp at eoos.dds.nl>
> > Subject: Re: [R] Sequence generation in a table
> > To: r-help at r-project.org, vincy_pyne at yahoo.ca
> > Received: Thursday, December 9, 2010, 10:57 AM
> >
> > Vincy,
> >
> > I suppose the following does what you want. yy is now a list which
> allows for
> > differing lengths of the vectors.
> >
> > > yy <- lapply(c(257, 520, 110), seq, to=0, by=-100)
> > > yy[[1]]
> > [1] 257 157 57
> > > yy[[2]]
> > [1] 520 420 320 220 120 20
> >
> >
> > Regards,
> > Jan
> >
> >
> > On 9-12-2010 11:40, Vincy Pyne wrote:
> > > c(257, 520, 110)
> >
> >
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > 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.
>
>
>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
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