R/VecOfTransData.R

In RTransProb: Analyze and Forecast Credit Migrations

#' Vector of Transition Counts
#'
#' @description This function reshapes transition matrices of counts into a 'wide format', time series of transition counts.
#'
#' @usage VecOfTransData(lstCnt,ratingCat,startDate,endDate,snapshots)
#'
#' @param lstCnt quarterly transition count data.
#' @param ratingCat list containing the unique rating caetgories.
#' @param startDate             start date of the estimation time window, in string or numeric format. The default start date is the earliest date in 'data'.
#' @param endDate             end date of the estimation time window, in string or numeric format. The default end date is the latest date in 'data'. The end date cannot be a date before the start date.
#' @param snapshots         Integer indicating the number of credit-rating snapshots per year to be considered for the estimation.
#'                          Valid values are 1, 4, 12, 54, and 356.
#'                          For example, 1 = one snapshot per year
#'
#'
#' @return The output is a time series vector of transition counts .
#'
#' @export
#'
#' @author  Abdoulaye (Ab) N'Diaye
#'
VecOfTransData <-
  function(lstCnt,
           ratingCat,
           startDate,
           endDate,
           snapshots) {
    df <- data.frame(
      industryName = character(),
      Qtr_Year = character(),
      endDate = as.Date(character()),
      Rating_Trans = character(),
      start_Rating = character(),
      end_rating = character(),
      mCount = integer(),
      stringsAsFactors = FALSE
    )
    
    
    if (snapshots == 1) {
      snaps = "years"
    } else if (snapshots == 4) {
      snaps = "quarters"
    } else if (snapshots == 12) {
      snaps = "months"
    }
    
    
    TotalDateRange <-
      seq(as.Date(startDate), as.Date(endDate), snaps) - 1
    #TotalDateRange <- seq.Date(as.Date(startDate), as.Date(endDate), snaps)
    
    #initialize counters
    nn <- 1
    k <- 1
    r <- 1
    
    TRows <- ratingCat
    TCols <- ratingCat
    
    #now create transitions table
    for (l in 1:(length(TotalDateRange) - 1)) {
      #istartDate = POSIXTomatlab(as.POSIXlt(as.Date(TotalDateRange[l],format = "%Y-%m-%d")))
      #iendDate = POSIXTomatlab(as.POSIXlt(as.Date(TotalDateRange[l+1],format = "%Y-%m-%d")))
      #DateRange        <- as.Date(matlabToPOSIX(cfdates(istartDate,iendDate,snapshots)))
      
      #for(i in 1:(length(DateRange)-1)){
      
      startDate  <- TotalDateRange[l]
      endDate    <- TotalDateRange[l + 1]
      
      getRowCOunt <- nrow(lstCnt[[k]][[nn]])
      
      #Transpose the matrix before looping through it
      cntMatrix <- t(lstCnt[[k]][[nn]])
      
      c <- 1
      
      for (gcols in 1:getRowCOunt) {
        for (grows in 1:getRowCOunt) {
          df[r, 1] <- "X"
          df[r, 2] <-
            paste(as.character(chron::years(TotalDateRange[l])) ,
                  quarters(TotalDateRange[l]),
                  sep = " ")
          df[r, 3] <- TotalDateRange[l + 1]
          df[r, 4] <- paste(TCols[gcols], "-", TRows[grows], sep = "")
          df[r, 5] <- TCols[gcols]
          df[r, 6] <- TRows[grows]
          df[r, 7] <- cntMatrix[c]
          
          c <- c + 1
          r <- r + 1
        }
      }
      
      
      nn <- nn + 1
      
      if (nn > snapshots) {
        nn <- 1
        k <- k + 1
      }
      
      
    }
    
    transData <- df
    return(transData)
  }