R/Underlying.R

In gaspardcc/jumpyMerton:

#' Underlying class
#'
#' Abstract class
#'
#' @author elh

Underlying <- setClass(
  # Name of the class
  "Underlying",

  # Define the slots
  slots = c(
    grid = "numeric",
    path = "numeric"
  ),

  # Test whether grid and path have the same size
  validity=function(object)
  {
    if(length(grid)!=length(path)) stop("Grid and Path can't be with different size.")
    return(T)
  },

  contains=c("VIRTUAL")
)

setMethod(
  f = "asset",
  signature = "Underlying",
  definition = function(this,...)
  {
    stop("abstract method")
  }
)

setMethod(
  f = "phi",
  signature = "Underlying",
  definition = function(this, maturity)
  {
    stop("abstract method")
  }
)

setMethod(
  f = "display",
  signature = "Underlying",
  definition = function(this)
  {
    require(ggplot2)
    df <- data.frame(grid = this@grid, path = this@path)
    return(ggplot(df, aes(x=grid))+geom_point(aes(y=path)))
  }
)

setMethod(
  f = "concatenate",
  signature = c("Underlying","Underlying"),
  definition = function(u1, u2)
  {
    if(tail(u1@grid, n=1) > head(u2@grid, n=1))
      stop(paste("incoherent grid - tail of", deparse(substitute(u1)), "is greater than head of", deparse(substitute(u2))))
    else if(tail(u1@grid, n=1) < head(u2@grid, n=1))
      warnings("grid gap")
    else
      stopifnot(tail(u1@path, n=1) == head(u2@path, n=1))

    u1@grid <- union(u1@grid, u2@grid)
    u1@path <- union(u1@path, u2@path)
    return(u1)
  }
)