README.md
In DavideMagno/SwapPricer: Pricing of Financial Interest Rate Swaps
SwapPricer 
The goal of SwapPricer is to allow you to price a book of interest rate
swaps (IRS). IRS is the most traded over the counter financial
derivative in the world and now you can easily price it in R. More
details on the financial characteristics of this contract can be found
here
Please note that as at version 1.0.2 the toolbox is able to price using
just a one-curve framework but is able to price multiple currencies (ie.
CHF, EUR, GBP, JPY and USD) and any convention in terms of coupon
frequency, day count convention.
We are working to introduce OIS Discounting in the next releases
Installation
For now, you can just install the development version from
GitHub with:
# install.packages("devtools")
devtools::install_github("DavideMagno/SwapPricer")
Example
The main function of the toolbox is SwapPortfolioPricing which uses
just three inputs:
1) A table with the characteristics of the swap, like the following one
Input Portfolio
ID
currency
notional
start.date
maturity.date
strike
type
standard
time.unit.pay
time.unit.receive
dcc.pay
dcc.receive
Swap 25y
EUR
1.0e+07
19/01/2007
19/01/2032
0.0005982
receiver
TRUE
NA
NA
NA
NA
Swap 30y
GBP
1.0e+06
24/04/2012
24/04/2042
0.0100000
payer
TRUE
NA
NA
NA
NA
Swap 10y
USD
2.0e+06
21/02/2012
21/02/2022
0.0025000
receiver
TRUE
NA
NA
NA
NA
Swap 2y16y
GBP
7.5e+06
14/04/2021
14/04/2037
0.0150000
receiver
TRUE
NA
NA
NA
NA
Swap non standard
EUR
1.5e+07
26/05/2014
26/05/2039
0.0200000
payer
FALSE
12
3
act/365
act/365
Swap 10y semi fixed
EUR
1.0e+07
26/05/2014
26/05/2024
0.0010000
payer
FALSE
6
6
act/365
act/365
Swap 30y quarter floating
GBP
1.0e+06
24/04/2012
24/04/2042
0.0200000
receiver
FALSE
3
12
act/360
act/365
Swap 10y irregular
USD
2.0e+06
21/02/2012
21/02/2022
0.0025000
receiver
FALSE
6
12
act/365
act/365
Swap 2y16y
EUR
7.5e+06
14/04/2021
14/04/2037
0.0150000
payer
FALSE
12
12
act/365
act/360
2) The date at which the swaps are being priced
3) As many interest rate lists as per the currencies in the swap
portfolio. The list is made of a string with the code of the
currency and a with a tibble with the discounting factor curve with
two columns: Dates and Discount Factors (df). Here is an example of
interest rate list:
SwapPricer::EUR.curves
#> $currency
#> [1] "EUR"
#>
#> $discount
#> # A tibble: 26 x 2
#> Date df
#> <date> <dbl>
#> 1 2019-04-15 1
#> 2 2019-04-23 1.00
#> 3 2019-05-16 1.00
#> 4 2019-07-16 1.00
#> 5 2019-10-16 1.00
#> 6 2020-04-16 1.00
#> 7 2020-10-16 1.00
#> 8 2021-04-16 1.00
#> 9 2022-04-19 1.00
#> 10 2023-04-17 1.00
#> # … with 16 more rows
Examples of items 1 and 3 have been provided with the package.
library(SwapPricer)
today <- lubridate::ymd(20190415)
SwapPricer::SwapPortfolioPricing(SwapPricer::swap.basket, today,
SwapPricer::EUR.curves, SwapPricer::GBP.curves,
SwapPricer::USD.curves)
This function returns a table that can be easily used for reporting like
below
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
Pricing results
swap.id
currency
clean.mv
dirty.mv
accrual.pay
accrual.receive
par
pv01
Swap 25y
EUR
\-881,831.25
\-874,928.79
5,506.67
1,395.80
0.77%
\-12,390.87
Swap 30y
GBP
105,100.25
104,665.66
\-4,739.73
4,305.14
1.54%
1,948.27
Swap 10y
USD
\-119,333.64
\-126,360.65
\-7,777.01
750.00
2.43%
\-547.60
Swap 2y16y
GBP
\-94,850.43
\-94,850.43
\-0.00
0.00
1.59%
\-10,393.05
Swap non standard
EUR
\-2,590,941.00
\-2,861,693.88
\-264,657.53
\-6,095.34
1.07%
27,912.93
Swap 10y semi fixed
EUR
\-16,313.13
\-29,967.92
\-3,835.62
\-9,819.18
0.07%
5,129.68
Swap 30y quarter floating
GBP
88,228.04
105,652.23
\-2,082.67
19,506.85
1.55%
\-1,940.77
Swap 10y irregular
USD
\-119,608.54
\-126,827.43
\-7,944.92
726.03
2.44%
\-545.92
Swap 2y16y
EUR
\-361,098.10
\-361,098.10
\-0.00
0.00
1.18%
11,170.90
Learning More
The vignettes are a great place to learn more about SwapPricer.
If you are installing from github and want the vignettes, you’ll need to
run the following commands
first:
devtools::install_github("DavideMagno/SwapPricer", build_vignettes = TRUE)
library(SwapPricer)
You can then access them from R with the vignette() command
DavideMagno/SwapPricer documentation built on Aug. 19, 2021, 6:36 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
SwapPricer
The goal of SwapPricer is to allow you to price a book of interest rate swaps (IRS). IRS is the most traded over the counter financial derivative in the world and now you can easily price it in R. More details on the financial characteristics of this contract can be found here
Please note that as at version 1.0.2 the toolbox is able to price using just a one-curve framework but is able to price multiple currencies (ie. CHF, EUR, GBP, JPY and USD) and any convention in terms of coupon frequency, day count convention.
We are working to introduce OIS Discounting in the next releases
Installation
For now, you can just install the development version from GitHub with:
# install.packages("devtools")
devtools::install_github("DavideMagno/SwapPricer")
Example
The main function of the toolbox is SwapPortfolioPricing which uses
just three inputs:
1) A table with the characteristics of the swap, like the following one
Input Portfolio ID currency notional start.date maturity.date strike type standard time.unit.pay time.unit.receive dcc.pay dcc.receive Swap 25y EUR 1.0e+07 19/01/2007 19/01/2032 0.0005982 receiver TRUE NA NA NA NA Swap 30y GBP 1.0e+06 24/04/2012 24/04/2042 0.0100000 payer TRUE NA NA NA NA Swap 10y USD 2.0e+06 21/02/2012 21/02/2022 0.0025000 receiver TRUE NA NA NA NA Swap 2y16y GBP 7.5e+06 14/04/2021 14/04/2037 0.0150000 receiver TRUE NA NA NA NA Swap non standard EUR 1.5e+07 26/05/2014 26/05/2039 0.0200000 payer FALSE 12 3 act/365 act/365 Swap 10y semi fixed EUR 1.0e+07 26/05/2014 26/05/2024 0.0010000 payer FALSE 6 6 act/365 act/365 Swap 30y quarter floating GBP 1.0e+06 24/04/2012 24/04/2042 0.0200000 receiver FALSE 3 12 act/360 act/365 Swap 10y irregular USD 2.0e+06 21/02/2012 21/02/2022 0.0025000 receiver FALSE 6 12 act/365 act/365 Swap 2y16y EUR 7.5e+06 14/04/2021 14/04/2037 0.0150000 payer FALSE 12 12 act/365 act/3602) The date at which the swaps are being priced
3) As many interest rate lists as per the currencies in the swap portfolio. The list is made of a string with the code of the currency and a with a tibble with the discounting factor curve with two columns: Dates and Discount Factors (df). Here is an example of interest rate list:
SwapPricer::EUR.curves
#> $currency
#> [1] "EUR"
#>
#> $discount
#> # A tibble: 26 x 2
#> Date df
#> <date> <dbl>
#> 1 2019-04-15 1
#> 2 2019-04-23 1.00
#> 3 2019-05-16 1.00
#> 4 2019-07-16 1.00
#> 5 2019-10-16 1.00
#> 6 2020-04-16 1.00
#> 7 2020-10-16 1.00
#> 8 2021-04-16 1.00
#> 9 2022-04-19 1.00
#> 10 2023-04-17 1.00
#> # … with 16 more rows
Examples of items 1 and 3 have been provided with the package.
library(SwapPricer)
today <- lubridate::ymd(20190415)
SwapPricer::SwapPortfolioPricing(SwapPricer::swap.basket, today,
SwapPricer::EUR.curves, SwapPricer::GBP.curves,
SwapPricer::USD.curves)
This function returns a table that can be easily used for reporting like below
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#169: floating.history <- floating.history[grepl(swap$currency, floating.history$currency) &
#> floating.history$time.unit == swap$time.unit[[leg.type]],
#> "rate.data"]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#172: floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#174: fixing.row <- floating.history[floating.history$date %in% swap.dates$fixing.date,
#> ]
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#177: if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates == max(closest.dates[closest.dates <
#> 0])), ]
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#183: rate <- fixing.row[["value"]]/100
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
#> Called from: AccrualCalculation(.x, .y, swap, direction, floating.history)
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#168: if (!is.null(swap.dates$fixing.date)) {
#> floating.history <- floating.history[grepl(swap$currency,
#> floating.history$currency) & floating.history$time.unit ==
#> swap$time.unit[[leg.type]], "rate.data"]
#> floating.history <- purrr::flatten(floating.history$rate.data)[[1]]
#> fixing.row <- floating.history[floating.history$date %in%
#> swap.dates$fixing.date, ]
#> if (nrow(fixing.row) == 0) {
#> closest.dates <- (floating.history$date - swap.dates$fixing.date)
#> fixing.row <- floating.history[which(closest.dates ==
#> max(closest.dates[closest.dates < 0])), ]
#> }
#> rate <- fixing.row[["value"]]/100
#> } else {
#> rate <- swap$strike
#> }
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#186: rate <- swap$strike
#> debug at /Users/davidemagno/Documents/R/Pricingverse/SwapPricer/R/IRS.R#189: swap.dates %>% purrr::pluck("accrual.yf") %>% *(swap$notional *
#> rate * switch(leg.type, pay = -1, receive = 1))
Learning More
The vignettes are a great place to learn more about SwapPricer.
If you are installing from github and want the vignettes, you’ll need to run the following commands first:
devtools::install_github("DavideMagno/SwapPricer", build_vignettes = TRUE)
library(SwapPricer)
You can then access them from R with the vignette() command
R Package Documentation
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