renaming Pt.2

Author: thierrymoudiki

DESCRIPTION

@@ -12,13 +12,12 @@ BugReports: https://github.com/Techtonique/esgtoolkit/issues
 Maintainer: T. Moudiki <thierry.moudiki@gmail.com>
 Description: A toolkit for Monte Carlo Simulations in Finance, Economics, Insurance, Physics. Multiple simulation models can be created by combining building blocks provided in the package.   
 License: BSD_3_clause Clear + file LICENSE
-Depends: ggplot2, gridExtra, reshape2, VineCopula, randtoolbox
+Depends: ggplot2, gridExtra, methods, reshape2, VineCopula, randtoolbox
 Imports: Rcpp(>= 0.11.0)
 Suggests: 
     devtools,
     testthat
 LinkingTo: Rcpp
-Collate: 'RcppExports.R' 'calculatereturns.R' 'fwdrates.R' 'plots.R' 'rates_interpolation.R' 'simulations_risks.R' 'simulations_shocks.R' 'tests.R' 'tools.R' 'zzz.R'
 Packaged: 2014-06-12 23:32:30 UTC; Thierry
 NeedsCompilation: yes
 Repository: CRAN

NAMESPACE

@@ -10,6 +10,14 @@ export(esgplotshocks)
 export(esgplotts)
 export(simdiff)
 export(simshocks)
+export(forwardrates)
+export(ycextra)
+export(ycinter)
+importFrom("graphics", "hist")
+importFrom("methods", "new")
+importFrom("stats", "density", "median", "nlminb", "optim", "pf",
+               "qqline", "qqnorm", "shapiro.test")
+importFrom("utils", "setTxtProgressBar", "txtProgressBar")
 importFrom(ggplot2, ggplot)
 importFrom(ggplot2, qplot)
 importFrom(gridExtra, grid.arrange)

NEWS.md

@@ -1,7 +1,7 @@
 # version 1.0.0
 
 - rename `ESGtoolkit` to `esgtoolkit`
-- include `ycinter` and `ycextra` (?)
+- include `ycinter` and `ycextra` (from package `ycinterextra`, discontinued and unilaterally removed from CRAN)
 
 # version 0.6.0
 

R/utils.R

@@ -0,0 +1,53 @@
+########## Tools
+# simply coumpounded euribor rate
+euriborfromprice <- function(t, T, ZC)
+{
+  # Brigo P. 7
+  tau <- T-t
+  return(as.vector((1/ZC - 1)/tau))
+}
+euriborfromprice <- compiler::cmpfun(euriborfromprice)
+
+
+# simply coumpounded zero-coupon price
+pricefromeuribor <- function(t, T, L)
+{
+  # Brigo P. 7
+  tau <- T-t
+  return(as.vector(1/(1 + L*tau)))
+}
+pricefromeuribor <- compiler::cmpfun(pricefromeuribor)
+
+# simply coumpounded forward rate
+fwdrate <- function(T_, S, ZC_T, ZC_S)
+{
+  # Brigo P. 12
+  tau <- S-T_
+  return((ZC_T/ZC_S - 1)/tau)
+}
+fwdrate <- compiler::cmpfun(fwdrate)
+
+# Swap curve bootstrap
+bootstrapswapcurve <- function(swaprate, maturity, typeres=c("rates", "prices"))
+{  
+  swaprate <- swaprate/100
+  accrual <- diff(maturity)
+  n <- length(swaprate)  
+  ZC <- numeric(n)  
+  ZC[1] <- 1/(1+maturity[1]*swaprate[1])
+  
+  for (i in seq_len(n)[-1])
+  {
+    ind <- seq_len(i-1)
+    ZC[i] <- (1 - swaprate[i]*sum(accrual[ind]*ZC[ind]))/(1+swaprate[i]*accrual[i-1])
+  }
+  
+  typeres <- match.arg(typeres)
+  
+  if (missing(typeres) || typeres == "prices")
+  {return(ts(ZC))}
+  
+  if (typeres == "rates")
+  {return((1-ZC)/(maturity*ZC))}  
+}
+bootstrapswapcurve <- compiler::cmpfun(bootstrapswapcurve)