[R] Code works on Mac but not Windows

[Thierry Onkelinx]

Yes

> bar <- function(y = "12345"){
+   message(y)
+ }
> foo <- function(x = "a", y = "b"){
+   bar(y = y)
+ }
> bar()
12345
> bar(y = "abc")
abc
> foo()
b
> foo(y = "xyz")
xyz


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

2015-05-13 17:43 GMT+02:00 Glenn Schultz <glennmschultz op me.com>:

> Hi Thierry,
>
> Last question I promise.  This function is often embedded in other
> functions which call various analytic functions for mortgage backed
> securities like total return etc.  If I understand you correctly the
> default is set in the TermStructure function. This is the first software
> package I have built so sometimes my understanding is incomplete due to a
> lack of experience.  If I provide "ns" default in the function and the user
> chooses an alternative such as "cs" will that flow to method?
>
> for example:
> PassThroughAnalytic(bond.id = foo, tradedate= foo, method = cs, price){
> bond.id <- MBS(bond.id = bond.id)
> rates.data <- rate(trade.date = foo)
> TermStrucuture <- TermStructure(rate.data = rates.data, method = method)
> *#if I understand correctly the method = "cs" will override the default
> value "ns" in TermStructure *
> MtgCashFlow <- MortgageCashFlow(bond.id = bond.id, tradedate = tradedate,
> price = price)
> KeyRate <- MtgKeyRate(trade.date = trade.date, MtgCashFlow = MtgCashFlow}
>
> Thanks,
> Glenn
>
>
>
> On May 13, 2015, at 02:53 AM, Thierry Onkelinx <thierry.onkelinx op inbo.be>
> wrote:
>
> Dear Glenn,
>
> Please keep the mailing list in cc.
>
> In this case I would drop the "signature" like values and use correct
> defaults.
>
> TermStructure <- function(rates.data, method = "ns")
>
> you can drop if(missing(method)) method = "ns" in that case.
>
> 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
>
> 2015-05-12 13:43 GMT+02:00 Glenn Schultz <glennmschultz op me.com>:
>
>> Hi Thierry,
>> Thanks,  I see what you are saying.  I should alter the code to test for
>> values, correct?
>>
>> Glenn
>>
>> Sent from my iPhone
>>
>> On May 12, 2015, at 2:40 AM, Thierry Onkelinx <thierry.onkelinx op inbo.be>
>> wrote:
>>
>> 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 op date = date .Object op spotrate = spotrate .Object@
>>> forwardrate = forwardrate .Object op TwoYearFwd = TwoYearFwd .Object@
>>> 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"
>>>> ______________________________________________
>>>> R-help op r-project.org mailing list -- To UNSUBSCRIBE and more, see
>>>> 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.
>>>>
>>>
>>>
>>
>

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