[R-SIG-Finance] YieldCurve package

[Jeff Ryan]

Try posting sessionInfo(). Your packages matter far more than your system in 99.99% of cases. 

Also, providing the result of traceback() immediately after the failed call can be illustrative. 

Best,
Jeff

Jeffrey Ryan    |    Founder    |    jeffrey.ryan at lemnica.com

www.lemnica.com

On Aug 11, 2013, at 10:56 AM, jaimie villanueva <jaimie.villanueva at gmail.com> wrote:

> Hi there,
> 
> I'm facing some problems since I've updated  the YieldCurve package from <<
> YieldCurve_4.0 >> to << YieldCurve_4.1 >>
> 
> I would like to get Nelson Siegel rates. To do so, I'm using
> "Nelson.Siegel" function in order to compute beta and lambda parameters and
> "NSrates" function to compute Nelson Siegel rates. The thing is that the
> following code I'm about to show You, did work in the past with my older
> version of the package, but It doesn't work now.
> 
> The problem occurs when setting up Nelson Siegel function:
> 
> This is the code:
> 
>> Sys.info()
>                     sysname                      release
>   version
>                   "Windows"                      "7 x64" "build 7601,
> Service Pack 1"
>                    nodename                      machine
>     login
>                    "JVC-PC"                     "x86-64"
>     "JVC"
>                        user               effective_user
>                       "JVC"                        "JVC"
> 
>  library(RODBC)
>> library(TSA)
>> library(grDevices)
>> library(YieldCurve)
>> library(xts)
>> 
>> 
>> #########  CONFIGURACI�N INICIAL
>> #
>> 
>> plazos.NG=array(c(1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,
> + 21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,36,37,38,39,40,41,
> + 42,43,44,45,46,47,48,49,50))
>> 
>> 
> CURVA.EUR=array(c(1.415943,1.302205,1.380278,1.533634,1.725201,1.920058,2.083162,2.214956,
> +   2.32518,2.422087,2.591747,2.735049,2.739023,2.644585,2.543769))
>> 
>> m=length(plazos.NG)
>> CURVA.EUR.NG=array(NA,c(m))
>> plazos.EUR=array(c(1,2,3,4,5,6,7,8,9,10,12,15,20,25,30))
>> 
>> #
>> #########
>> 
>> NEW.VECT.1=cbind(plazos.NG,CURVA.EUR.NG)
>> NEW.VECT.2=cbind(plazos.EUR,CURVA.EUR)
>> 
>> 
>> # CREAMOS EL VECTOR CON TIPOS
>> 
>> l= length(plazos.EUR)
>> posicX=1
>> posicY=1
>> 
>> for(k in 1:l)
> +  {
> + # BUSCAMOS LA POSICION DE CADA PUNTO DE LA CURVA.
> +
> + while(NEW.VECT.1[posicY,1]!= NEW.VECT.2[posicX,1]){posicY=posicY+1}
> + NEW.VECT.1[posicY,2]=NEW.VECT.2[posicX,2]
> + posicX=posicX+1
> + posicY=posicY+1
> +
> +  }
>> 
>> NSParameters= Nelson.Siegel(rate=NEW.VECT.1[,2],maturity=NEW.VECT.1[,1])
>> fitted.rates= NSrates(NSParameters, NEW.VECT.1[,1])
> 
> *Error in xts(matrix(0, nrow(Coeff), length(maturity)), order.by =
> time(Coeff)) : *
> *  order.by requires an appropriate time-based object*
> *
> *
> Any help would be kindly appreciated.
> Thanks in advance.
> 
> -- 
> *Jaimie.*
> 
>    [[alternative HTML version deleted]]
> 
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