[R-pkg-devel] environment scoping

[Glenn Schultz]

All,

Thank you, I have built the package such that it passes an object TermStrutrure to those functions which require it as an input.  The package is here

https://github.com/glennmschultz/BondLab <https://github.com/glennmschultz/BondLab>

The question is largely motivated by the source MortgageScenario.R and MortgageOAS.R.  I have decided to default to Diebold Lee model in termstuc.

 In the case of MortgageScenario.R:

Currently shift in the curve is driven by shift in the coupon curve and the term structure model is refit.  Naturally one could use the coefficients from the original fit to shift the curve making the 		analysis much faster and more intuitive than the current paradigm of shifting the coupon curve.  However, some portfolio prefer to be able to use either or.  So, I need to make either/or available.

In the case of MortgageOAS.R

This is currently a single factor CIR OAS model.  It will remain for teaching purposes as a single factor model is the gateway to multi-factor models.  Nevertheless, one may choose to batch job OAS across say 500 MBS.  In which case it makes little sense to replicate the paths 500 times.  Simulate the paths and pass them to the function.  Obviously, I am looking at parallel processing of a portfolio mortgage and asset backed securities.  Thank-you for the time that you have taken to consider and reply to my question.  This has been very helpful.

Best,
Glenn

 




> On Oct 27, 2016, at 11:29 AM, William Dunlap <wdunlap at tibco.com> wrote:
> 
> If I were writing a package for factoring integers I might store a vector of known primes in an environment in my package and have my factoring functions append to the list when they find some more primes.  This works because there is only one set of of primes (given we stick with ordinary integers).
> 
> However the term structure (of interest rates, I assume) depends on the date, the county, the type of bond, the method used to estimate it, etc.  I think it would be better to store it in some sort of object (function, list, or environment) that the user would be expected to know about.  The user would be expected to pass that data into each function that need that information (via the argument list, by using a function made in the environment containing the term structure, etc.).
> 
> 
> Bill Dunlap
> TIBCO Software
> wdunlap tibco.com <http://tibco.com/>
> On Thu, Oct 27, 2016 at 7:55 AM, Jenny Bryan <jenny at stat.ubc.ca <mailto:jenny at stat.ubc.ca>> wrote:
> Hi Glenn,
> 
> It sounds like you should create an environment for your package. If you store these objects in the global environment, they are exposed to the user and, more importantly, user could modify or delete them. If you use an environment specific to your package, you can be sure you are the only one messing with them.
> 
> You create it like so:
> 
> .package_env <- new.env(parent = emptyenv())
> 
> And read from / write into it like so (very much like a list):
> 
> .package_env$foo <- ...
> .package_env$foo
> 
> or with assign() and get():
> 
> assign(foo, bar, envir = .package_env)
> get(foo, envir = .package_env)
> 
> This blog post by Jeff Allen is a nice write-up of what you're trying to do:
> 
> http://trestletech.com/2013/04/package-wide-variablescache-in-r-package/ <http://trestletech.com/2013/04/package-wide-variablescache-in-r-package/>
> 
> -- Jenny
> 
> > On Oct 27, 2016, at 7:05 AM, Glenn Schultz <glennmschultz at me.com <mailto:glennmschultz at me.com>> wrote:
> >
> > All,
> >
> > I would like to have some inputs available to many functions.  For example, I have coefficient for a term structure fit which I would like to make a available to total return functions.  Thereby eliminating the need to fit the same term structure over and over again.  However, I still reading and researching scoping.  My understanding is that I could fit the term structure and keep the coefficients in the global environment which would then make those coefficients available to all functions requiring a term structure object input.  Am I correct in my understanding.  What is the downside of environment global, if any?
> >
> > Best Regards,
> > Glenn
> > ______________________________________________
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