R/RiskFactorsPrep.R

In MultiATSM: Multicountry Term Structure of Interest Rates Models

#' Builds the complete set of time series of the risk factors (spanned and unspanned)
#'
#' @param FactorSet Factor set list (see e.g. "CM_Factors_GVAR" data file)
#' @param Economies A character vector containing the names of the economies included in the system.
#' @param FactorLabels A list of character vectors with labels for all variables in the model.
#' @param Initial_Date Start date of the sample period in the format yyyy-mm-dd
#' @param Final_Date   End date of the sample period in the format yyyy-mm-dd
#' @param DataFrequency A character vector specifying the data frequency. Available options: "Daily All Days", "Daily Business Days",
#'                      "Weekly", "Monthly", "Quarterly", "Annually".
#'
#'
#'@keywords internal
#'
#' @return
#' Risk factors used in the estimation of the desired ATSM
#'


RiskFactorsPrep <- function(FactorSet, Economies, FactorLabels, Initial_Date, Final_Date, DataFrequency){

  Initial_Date <- as.Date(Initial_Date)
  Final_Date <- as.Date(Final_Date)

  G <- length(FactorSet$Global)
  C <- length(Economies) # We subtract 1 because we want to exclude the list of global factors
  N <- length(FactorLabels$Spanned)
  M <- length(FactorLabels$Domestic) - N
  T <- length(FactorSet[[1]][[1]][[1]])


  ZZfull <- matrix(NA, nrow= C*(N+M)+G, ncol = T)
  ZZfull[seq_len(G),] <- do.call(rbind,lapply(FactorSet$Global, matrix, ncol=T))

  # 1) Assign variables:
  idx0 <- G
  for (i in 1:C){
    idx1 <- idx0 + N+M
    ZZfull[(idx0+1):idx1,] <- do.call(rbind,lapply(FactorSet[[Economies[i]]]$Factors[1:(N+M)], matrix, ncol=T))
    idx0 <- idx1
  }

  # 2) Assign labels:
  # a) Factor names
  idx0 <- 0
  LabCountries <- rep(NA, times = C*(N+M))
  for (i in 1:C){
    idx1 <- idx0 + N+M
    LabCountries[(idx0+1):idx1] <- FactorLabels$Tables[[Economies[i]]]
    idx0 <- idx1
  }

  rownames(ZZfull) <- c(FactorLabels$Global,LabCountries)

  # b) Time series labels
  # (i) Daily All Days data
  if (DataFrequency== "Daily All Days"){
    DAD <- seq(Initial_Date, Final_Date, by = "1 day")
    DateLabels <- format(DAD, "%d-%m-%Y")
  }
  # (ii) Daily Business Days data
  if (DataFrequency== "Daily Business Days"){
    DateLabels <- 1:T
  }
  # (iii) Weekly data
  if (DataFrequency== "Weekly"){
    week <- seq(Initial_Date, Final_Date, by = "1 week")
    DateLabels <- format(week, "%d-%m-%Y")
  }
  # (iv) Monthly data
  if (DataFrequency== "Monthly"){
  month <- seq(Initial_Date, Final_Date, by = "1 month")
  DateLabels <- format(month, "%d-%m-%Y")
  }
  # (v) Quarterly data
  if (DataFrequency== "Quarterly"){
    quarter <- seq(Initial_Date, Final_Date, by = "1 quarter")
    DateLabels <- format(quarter, "%m-%Y")
  }
  # (vi) Annually data
  if (DataFrequency== "Annually"){
    year <- seq(Initial_Date, Final_Date, by = "1 year")
    DateLabels <- format(year, "%Y")
  }


  colnames(ZZfull) <- DateLabels


  return(ZZfull)
}