[R-SIG-Finance] RQuantLib possible bug in yearFraction and dayCount

[R. Michael Weylandt]

Well, I don't really know what you're doing wrong: it works just fine
to give me a vector so please provide a reproducible example of it not
doing so:

# From the examples
startDates <- structure(c(14341, 14342, 14343, 14344, 14345, 14346, 14347,
14348), class = "Date")

endDates structure(c(14555, 14556, 14557, 14558, 14559, 14560, 14561,
14562), class = "Date")

dayCounters <- c(0,1,2,3,4,5,6,1)

print(yearFraction(startDates, endDates, dayCounters))
print(yearFraction(startDates[1:4], endDates[rep(1,4)], rep(0, 4)))

I haven't really played with it, but it seems that you'll only get as
many outputs as you provide "dayCounter"s so that might be part of
your problem.

Best,
Michael

On Fri, Jun 8, 2012 at 9:38 AM, Guillaume Horel
<guillaume.horel at gmail.com> wrote:
> Ok thanks, this makes sense. Any way to make it work with a vector?
> The example from the doc with startDates, endDates makes clear that it
> should return a vector but I can only get a single value.
>
> Guillaume
>
> On Thu, Jun 7, 2012 at 10:57 PM, R. Michael Weylandt
> <michael.weylandt at gmail.com> wrote:
>> Hmmmm... looking at the source code, you see the return value is
>> wrapped in invisible() so it won't auto-print but it is returned
>> --it's not a bug, but I don't know exactly why Dirk would have done
>> that. There are other functions that return invisibly (e.g., most plot
>> functions) but those are usually side-effect functions.
>>
>> The invisible() was added not too long ago in r322 it seems, but the
>> log doesn't quite explain why. Perhaps Dirk can chime in?
>>
>> Michael
>>
>> On Thu, Jun 7, 2012 at 5:07 PM, Guillaume Horel
>> <guillaume.horel at gmail.com> wrote:
>>> Hello,
>>>
>>> I'm trying to use the yearFraction function from the RQuantLib
>>> library. However the function behaves strangely. This small example
>>> should make the problem clear:
>>>
>>>> yearFraction(Sys.Date(),Sys.Date()+10,0)
>>>> dt <- yearFraction(Sys.Date(),Sys.Date()+10,0)
>>>> dt
>>> [1] 0.02777778
>>>> dtvec <- yearFraction(Sys.Date(),Sys.Date()+10:20,0)
>>>> dtvec
>>> [1] 0.02777778
>>>
>>> The first issue is that just calling yearFraction alone doesn't return
>>> anything. However the output is just hidden, because if I store the
>>> result to a variable it works fine.
>>> However this trick doesn't work if you want to apply it to a vector as
>>> shown with the dtvec variable.
>>>
>>> This is the output from example(yearFraction), which shows that
>>> dayCount also exhibits the same issue (no output).
>>>
>>> yrFrct>   startDates <- seq(from=as.Date("2009-04-07"),
>>> to=as.Date("2009-04-14"),by=1)
>>>
>>> yrFrct>   endDates <- seq(from=as.Date("2009-11-07"),
>>> to=as.Date("2009-11-14"), by=1)
>>>
>>> yrFrct>   dayCounters <- c(0,1,2,3,4,5,6,1)
>>>
>>> yrFrct>   dayCount(startDates, endDates, dayCounters)
>>>
>>> yrFrct>   yearFraction(startDates, endDates, dayCounters)
>>>
>>>
>>> Can anybody else reproduce this? I'm trying to figure out if there is
>>> something wrong with my setup or if it's an actual bug in
>>> yearFraction.
>>>
>>> Thanks,
>>> Guillaume
>>>
>>> _______________________________________________
>>> R-SIG-Finance at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>> -- Also note that this is not the r-help list where general R questions should go.