[R-pkg-devel] environment scoping

[Henrik Bengtsson]

It sounds like memoization could help here. Package examples for this:
memoise and R.cache

Henrik

On Oct 27, 2016 11:19, "Glenn Schultz" <glennmschultz at me.com> wrote:

> 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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> >
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