[R] Code works on Mac but not Windows

Tue May 12 09:40:00 CEST 2015

Dear Glenn,

I think that you are confusing the signature of a method and the default
values of of function. It looks like you want the signature(rates.data =
"character", method = "character"). But you are setting "character" as
default value of both function arguments. Since you define a default value
for methods, it will not be missing when you omit is from the call.

Best regards,

ir. Thierry Onkelinx
Instituut voor natuur- en bosonderzoek / Research Institute for Nature and
Forest
team Biometrie & Kwaliteitszorg / team Biometrics & Quality Assurance
Kliniekstraat 25
1070 Anderlecht
Belgium

To call in the statistician after the experiment is done may be no more
than asking him to perform a post-mortem examination: he may be able to say
what the experiment died of. ~ Sir Ronald Aylmer Fisher
The plural of anecdote is not data. ~ Roger Brinner
The combination of some data and an aching desire for an answer does not
ensure that a reasonable answer can be extracted from a given body of data.
~ John Tukey

2015-05-11 17:36 GMT+02:00 Glenn Schultz <glennmschultz op me.com>:

> Hi Thierry,
>
> Below is the function
> setMethod("initialize", signature("TermStructure"), function(.Object,...,
> tradedate = "character", period = "numeric", date = "character", spotrate
> = "numeric", forwardrate = "numeric", TwoYearFwd = "numeric", TenYearFwd =
> "numeric") { .Object op tradedate = tradedate .Object op period = period .Object
> @date = date .Object op spotrate = spotrate .Object op forwardrate = forwardrate
> .Object op TwoYearFwd = TwoYearFwd .Object op TenYearFwd = TenYearFwd return(.
> Object) callNextMethod(.Object,...) })#' The TermStructure constructor
> function it is a wrapper function around the package termstrc#' #' This
> is a wrapper function around the R package termstrc. The function passes
> swap rate data#' cash flows the to termstrc and creates the TermStructure
> object used by Bondlab.#' The function call rates data processes the
> yield curve and derives cashflow#' for the daily close swap curve. A
> Rates object must be called in the local#' environment for this function
> to work.#' @param rates.data A character string representing the data for
> which the user#' would like to call the swap curve#' @param method A
> character string indicating the fitting method ns = Nelson Siegel, dl =
> Diebold Lee,#' sv = Severson, asv = adjusted Severson, cs = cubic spline
> (not yet implemented in Bond Lab).#' For addiition details see the
> termstrc documentation.#' @examples#' \dontrun{#'
> TermStructure(rates.data = "01-10-2013", method = "ns")}#' @importFrom
> lubridate %m+%#' @importFrom lubridate years#' @importFrom lubridate day#'
> @importFrom lubridate month#' @importFrom termstrc estim_nss estim_cs
> spotrates forwardrates#'@export TermStructure TermStructure <- function(
> rates.data = "character", method = "character"){ #function(trade.date =
> "character", method = "character") #Error Trap User inputs to the function
> if(missing(rates.data)) stop("missing rates data object") # this is the
> code snippet that works in MAC but not windows *#Default to Nelson-Siegel**
> if(missing(method)) method = "ns"* #Default to parametric if(method == "cs
> ") stop("cubic spline not implemented") #Check that the user input a
> valid method CheckMethod <- c("ns", "dl", "sv", "asv", "cs") if(!method
> %in% CheckMethod) stop ("Invalid 'method' Value") # pass the yield curve
> to the function rates.data <- rates.data #set the column counter to make
> cashflows for termstrucutre ColCount <- as.numeric(ncol(rates.data))
> Mat.Years <- as.numeric(rates.data[2,2:ColCount]) Coupon.Rate <-
> as.numeric(rates.data[1,2:ColCount]) Issue.Date <- as.Date(rates.data[1,1
> ]) #initialize coupon bonds S3 class #This can be upgraded when bondlab
> has portfolio function ISIN <- vector() MATURITYDATE <- vector() ISSUEDATE
> <- vector() COUPONRATE <- vector() PRICE <- vector() ACCRUED <- vector()
> CFISIN <- vector() CF <- vector() DATE <- vector() CASHFLOWS <- list(
> CFISIN,CF,DATE) names(CASHFLOWS) <- c("ISIN","CF","DATE") TODAY <-
> vector() data <- list() TSInput <- list() ### Assign Values to List Items
> ######### data = NULL data$ISIN <- colnames(rates.data[2:ColCount]) data$
> ISSUEDATE <- rep(as.Date(rates.data[1,1]),ColCount - 1) data$MATURITYDATE
> <- sapply(Mat.Years, function(Mat.Years = Mat.Years, Issue = Issue.Date) {
> Maturity = if(Mat.Years < 1) {Issue %m+% months(round(Mat.Years *
> months.in.year))} else {Issue %m+% years(as.numeric(Mat.Years))} return
> (as.character(Maturity)) })  data$COUPONRATE <- ifelse(Mat.Years < 1, 0,
> Coupon.Rate)  data$PRICE <- ifelse(Mat.Years < 1, (1 + (Coupon.Rate/100))^
> (Mat.Years * -1) * 100, 100) data$ACCRUED <- rep(0, ColCount -1) for(j in
> 1:(ColCount-1)){ Vector.Length <- as.numeric(round(difftime(data[[3]][j],
> data[[2]][j], units = c("weeks"))/weeks.in.year,0)) Vector.Length <-
> ifelse(Vector.Length < 1, 1, Vector.Length * pmt.frequency) #pmt.frequency
> should be input  data$CASHFLOWS$ISIN <- append(data$CASHFLOWS$ISIN, rep(
> data[[1]][j],Vector.Length)) data$CASHFLOWS$CF <- append(data$CASHFLOWS$CF
> , as.numeric(c(rep((data[[4]][j]/100/pmt.frequency), Vector.Length-1) *
> min.principal, (min.principal + (data$COUPONRATE[j]/100/pmt.frequency)*
> min.principal)))) by.months = ifelse(data[[4]][j] == 0, round(difftime(
> data[[3]][j], rates.data[1,1])/days.in.month), 6) # this sets the month
> increment so that cashflows can handle discount bills data$CASHFLOWS$DATE
> <- append(data$CASHFLOW$DATE, seq(as.Date(rates.data[1,1]) %m+%
> months(as.numeric(by.months)), as.Date(data[[3]][j]), by =
> as.character(paste(by.months, "months", sep = " ")))) } #The Loop Ends
> here and the list is made data$TODAY <- as.Date(rates.data[1,1]) TSInput
> [[as.character(rates.data[1,1])]] <- c(data) #set term strucuture input
> (TSInput) to class couponbonds class(TSInput) <- "couponbonds" #Fit the
> term structure of interest rates if(method != "cs") {TSFit <- estim_nss(
> dataset = TSInput, group = as.character(rates.data[1,1]), matrange = "all",
> method = method)} else {TSFit <- estim_cs(bonddata = TSInput, group =
> as.character(rates.data[1,1]), matrange = "all", rse = TRUE)} #Return the
> coefficient vector to be passed in to the spot and forward rate functions #Maybe
> have the method choosen based on the one that gives the smallest RMSE
> Vector <- switch(method, ns = unname(TSFit$opt_result[[1]]$par[c("beta0",
> "beta1", "beta2", "tau1")]), dl = unname(TSFit$opt_result[[1]]$par[c("
> beta0", "beta1", "beta2")]), sv = unname(TSFit$opt_result[[1]]$par[c("
> beta0", "beta1", "beta2", "tau1", "beta3", "tau2")]), asv = unname(TSFit$
> opt_result[[1]]$par[c("beta0", "beta1", "beta2", "tau1", "tau2", "tau3"
> )]), #cs = need to figure this out ) #Calculate the spot rate curve and
> determine the forward rates needed to period <- seq(from = 1, to = 492, by
> = 1) #Use the date from the cashflow file date <- seq(as.Date(rates.data[1
> ,1]) %m+% months(1), as.Date(data[[3]][j]), by="1 months") spot.rate.curve
> <- spotrates(method = method, beta = Vector, m = seq(from = 1/12, to = 492
> /12, by = 1/12)) forward.rate.curve <- forwardrates(method = method, beta
> = Vector, m = seq(from = 1/12, to = 492/12, by = 1/12)) Two.Year.Fwd <-
> (((1 + spot.rate.curve[seq(from = 25, to = 385, by = 1)]) ^ (period[seq(
> from = 25, to = 385, by = 1)]/12) / (1 + spot.rate.curve[seq(from = 1, to
> = 361, by = 1)]) ^ (period[seq(from = 1, to = 361, by = 1)]/12))^(1/2))-1
> Ten.Year.Fwd <- (((1 + spot.rate.curve[seq(from = 121, to = 481, by = 1)])
> ^ (period[seq(from = 121, to = 481, by = 1)]/12) / (1 + spot.rate.curve
> [seq(from = 1, to = 361, by = 1)]) ^ (period[seq(from = 1, to = 361, by =
> 1)]/12))^(1/10))-1 new("TermStructure", tradedate = as.character(
> rates.data[1,1]), period = as.numeric(period), date = as.character(date),
> spotrate = spot.rate.curve, forwardrate = forward.rate.curve, TwoYearFwd =
> Two.Year.Fwd, TenYearFwd = Ten.Year.Fwd )}  setGeneric("TermStructure",
> function(rates.data = "character", method = "character") {standardGeneric(
> "TermStructure")})
>
> On May 11, 2015, at 01:54 AM, Thierry Onkelinx <thierry.onkelinx op inbo.be>
> wrote:
>
> Dear Glenn,
>
> We need more details on the function. Please provide a commented, minimal,
> self-contained version of the function that reproduces the problem (as the
> posting guide asks you to do).
>
> Best regards,
>
> ir. Thierry Onkelinx
> Instituut voor natuur- en bosonderzoek / Research Institute for Nature and
> Forest
> team Biometrie & Kwaliteitszorg / team Biometrics & Quality Assurance
> Kliniekstraat 25
> 1070 Anderlecht
> Belgium
>
> To call in the statistician after the experiment is done may be no more
> than asking him to perform a post-mortem examination: he may be able to say
> what the experiment died of. ~ Sir Ronald Aylmer Fisher
> The plural of anecdote is not data. ~ Roger Brinner
> The combination of some data and an aching desire for an answer does not
> ensure that a reasonable answer can be extracted from a given body of data.
> ~ John Tukey
>
> 2015-05-11 3:03 GMT+02:00 Glenn Schultz <glennmschultz op me.com>:
>
>> Hello All,
>>
>> Testing my code on a Windows based machine today.  There seems to be an
>> offending line of code.  I have pasted it below.  Basically, I check to see
>> if the user passed a fit method to TermStructure and if not then default to
>> "ns".
>>
>> The above works fine on my Mac but a windows build errors no method.  I
>> have to pass a method = "ns" in the function.  If I pass the value for
>> method to the function it will run with no error.  Any thoughts are
>> appreciated.
>>
>> Best Regards,
>> Glenn
>>
>>   #Default method for TermStructure
>>   if(missing(method)) method = "ns"
>> ______________________________________________
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>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>
>

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