Code works on Mac but not Windows

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 at tradedate = tradedate
           .Object at period = period
           .Object at date = date
           .Object at spotrate = spotrate
           .Object at forwardrate = forwardrate
           .Object at TwoYearFwd = TwoYearFwd
           .Object at 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 at 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 at 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"