R/market_implied_instantaneous_forward_rate.R

In gfunk0704/ShortRateModel:

setClass(
    Class          = "MarketImpliedInstantaneousForwardRate",
    representation = representation(
        curveModel    = "ICurve"
    )
)

MarketImpliedInstantaneousForwardRate <- function(curveModel) {
    new(Class      = "MarketImpliedInstantaneousForwardRate",
        curveModel = curveModel)
}

setMethod(
    f          = "Calibrate",
    signature  = signature(marketData = "MarketRateTermStructure",
                           model      = "MarketImpliedInstantaneousForwardRate"),
    definition = function(marketData, model) {
        model@curveModel <- Calibrate(marketData, model@curveModel)
        if (FittingChart()) {
            .FittingChart(marketData, model)
        }
        model
    }
)

setGeneric(
    name = "CurveModel",
    def  = function(termStructure) {
        standardGeneric("CurveModel")
    }
)

setMethod(
    f          = "CurveModel",
    signature  = signature(termStructure = "MarketImpliedInstantaneousForwardRate"),
    definition = function(termStructure) termStructure@curveModel
)

setGeneric(
    name = "SetMarketInstantaneousForwardRate",
    def  = function(termStructure) {
        standardGeneric("SetMarketInstantaneousForwardRate")
    }
)

setMethod(
    f          = "SetMarketInstantaneousForwardRate",
    signature  = signature(termStructure = "MarketImpliedInstantaneousForwardRate"),
    definition = function(termStructure) {
        Curve <- SetCurve(termStructure@curveModel)
        function(maturity) Curve(maturity)
    }
)

setGeneric(
    name = "SetMarketZcbPrice",
    def  = function(termStructure) {
        standardGeneric("SetMarketZcbPrice")
    }
)

setMethod(
    f          = "SetMarketZcbPrice",
    signature  = signature(termStructure = "MarketImpliedInstantaneousForwardRate"),
    definition = function(termStructure) {
        Integration <- SetIntegration(termStructure@curveModel)
        function(maturity) exp(-Integration(maturity))
    }
)

setGeneric(
    name = "SetMarketZeroRate",
    def  = function(termStructure) {
        standardGeneric("SetMarketZeroRate")
    }
)

setMethod(
    f          = "SetMarketZeroRate",
    signature  = signature(termStructure = "MarketImpliedInstantaneousForwardRate"),
    definition = function(termStructure) {
        Integration <- SetIntegration(termStructure@curveModel)
        function(maturity) -Integration(maturity) / maturity
    }
)