Code works on Mac but not Windows

Hi Thierry,
Thanks,  I see what you are saying.  I should alter the code to test for
values, correct?

Glenn

Sent from my iPhone

On May 12, 2015, at 2:40 AM, Thierry Onkelinx <thierry.onkelinx at inbo.be>
wrote:

Dear Glenn,

I think that you are confusing the signature of a method and the default
values of of function. It looks like you want the signature(rates.data =
"character", method = "character"). But you are setting "character" as
default value of both function arguments. Since you define a default value
for methods, it will not be missing when you omit is from the call.

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 17:36 GMT+02:00 Glenn Schultz <glennmschultz at me.com>:

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"