[R] Code works on Mac but not Windows

[Henrik Bengtsson]

Before blaming Windows and/or OS X, make sure you verify the behavior
on the exact same versions of R; it might be due to difference in R
versions.  If you're luck it's a bug that has been fixed and your
problems goes away after updating.

This is why folks on this lists are repeatable requesting that
sessionInfo() output is always reported.  Help helpers help you.

My $.02

/Henrik

On Mon, May 11, 2015 at 8:36 AM, Glenn Schultz <glennmschultz at me.com> wrote:
> 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"
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.