sandbox/BondAnalytics.R

In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

  # Bond Lab is a software application for the analysis of 
  # fixed income securities it provides a suite of applications
  # mortgage backed, asset backed securities, and commerical mortgage backed 
  # securities Copyright (C) 2016  Bond Lab Technologies, Inc.
  # 
  # This program is free software: you can redistribute it and/or modify
  # it under the terms of the GNU General Public License as published by
  # the Free Software Foundation, either version 3 of the License, or
  # (at your option) any later version.
  # 
  # This program is distributed in the hope that it will be useful,
  # but WITHOUT ANY WARRANTY; without even the implied warranty of
  # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
  # GNU General Public License for more details.
  #
  # You should have received a copy of the GNU General Public License
  # along with this program.  If not, see <http://www.gnu.org/licenses/>.


  #' @include BondDetails.R BondCashFlows.R BondTermStructure.R TermStructure.R
  NULL
  
  #' @title BondAnalytics class
  #' @family Parametric
  #' @description The superclasses of BondAnalytics are BondDetails, BondCashFlows,
  #' BondTermStructure, TermStructure
  #' @exportClass BondAnalytics
  setClass("BondAnalytics", 
           representation(),
           contains = c("BondDetails", 
                        "BondCashFlows", 
                        "BondTermStructure", 
                        "TermStructure"))
  
  setGeneric("BondAnalytics", function (bond.id = "character", 
                                        principal = numeric(), 
                                        price = numeric(), 
                                        trade.date = "character", 
                                        settlement.date = "character", 
                                        method = "character")
    
  {standardGeneric("BondAnalytics")})
  
  setMethod("initialize",
          signature("BondAnalytics"),
          function(.Object,
                   ...)
            {callNextMethod(.Object,
                            ...)
            })

  #'@title Bond Analytics function
  #'@family Parametric
  #'@description The constructor function for the BondAnalytics class.  Returns
  #'the BondAnalytics object methods may be dispatched against slot generics.
  #'@param bond.id A character string the cusip number or id of the bond
  #'@param principal  A numeric value the principal amount of the bond
  #'@param price A numeric value the price of the bond
  #'@param trade.date A character string the trade date
  #'@param settlement.date A character string the settlement date
  #'@param method A character string the method used to fit the term 
  #'structure passed to the package termstruc
  #'@examples
  #'\dontrun{BondAnalytics(bond.id = "bondlab10", principal = 1000, price = 100, 
  #'trade.date = "01-10-2013", settlement.date = "01-16-2013")}
  #'@export
  BondAnalytics <- function (bond.id = "character",
                             principal = numeric(),
                             price = numeric(), 
                             trade.date = "character", 
                             settlement.date = "character", 
                             method = "dl"){
  # Error Trap Settlement Date and Trade Date order.  This is not done 
  # in the Error Trap Function because that function is 
  # to trap errors in bond information that is passed into the functions.  It is
  # trapped here because this is the first use of trade date

  if(trade.date > settlement.date) stop 
    ("Trade Date Must be less than settlement date")


  Rate.Delta = rate.delta
  # The first step is to read in the Bond Detail
  bond.id <- Bond(Bond.id = bond.id)
  
  #Call the desired curve from rates data folder
  trade.date = as.Date(trade.date, "%m-%d-%Y")
  rates.data <- Rates(trade.date = trade.date)

  # Fit the term structure
  TermStructure <- TermStructure(rates.data = rates.data, method = method)
       
  # The next step is to call the bond cusip details and calculate Bond Yield to
  # Maturity, Duration, Convexity and CashFlow. The BondCashFlows function this
  # creates the class BondCashFlows are held in class BondCashFlows
  BondCashFlow <- BondCashFlows(bond.id = bond.id, 
                                principal = principal, 
                                settlement.date = settlement.date, 
                                price = price)
       
  # The final step is to calculate effective duration, convexity, and key rate
  # durations and key rate convexities. This is done with the 
  # BondTermStructureFunction this creates the class BondTermStructure
  BondTermStructure <- BondTermStructure(bond.id = bond.id, 
                                         Rate.Delta = Rate.Delta, 
                                         TermStructure = TermStructure, 
                                         principal = principal, 
                                         price = price, 
                                         cashflow = BondCashFlow)
  new("BondAnalytics",
      Cusip = bond.id@Cusip,
      ID = bond.id@ID,
      BondType = bond.id@BondType,
      Sector = bond.id@Sector,
      Issuer = bond.id@Issuer,
      Underwriter = bond.id@Underwriter,
      OfferAmount = bond.id@OfferAmount,
      Coupon = bond.id@Coupon,
      IssueDate = bond.id@IssueDate,
      DatedDate = bond.id@DatedDate,
      Maturity = bond.id@Maturity,
      LastPmtDate = bond.id@LastPmtDate,
      NextPmtDate = bond.id@NextPmtDate,
      Moody = bond.id@Moody,
      SP = bond.id@SP,
      BondLab  = bond.id@BondLab,
      Frequency = bond.id@Frequency,
      BondBasis = bond.id@BondBasis,
      Callable = bond.id@Callable,
      Putable = bond.id@Putable,
      SinkingFund = bond.id@SinkingFund,
  # ---------- Bond Cash Flow Object ------
  Price = BondCashFlow@Price,
  Accrued = BondCashFlow@Accrued,
  YieldToMaturity = BondCashFlow@YieldToMaturity,
  WAL = BondCashFlow@WAL,
  ModDuration = BondCashFlow@ModDuration,
  Convexity = BondCashFlow@Convexity,
  Period = BondCashFlow@Period,
  PmtDate = BondCashFlow@PmtDate,
  TimePeriod = BondCashFlow@TimePeriod,
  PrincipalOutstanding = BondCashFlow@PrincipalOutstanding,
  CouponPmt = BondCashFlow@CouponPmt,
  TotalCashFlow = BondCashFlow@TotalCashFlow,
  # ---------- Bond Term Structure ------
  SpotSpread = BondTermStructure@SpotSpread,
  EffDuration = BondTermStructure@EffDuration,
  EffConvexity = BondTermStructure@EffConvexity,
  KeyRateTenor = BondTermStructure@KeyRateTenor,
  KeyRateDuration = BondTermStructure@KeyRateDuration,
  KeyRateConvexity = BondTermStructure@KeyRateConvexity,
  # ----------- Term Structure ---------
  TradeDate = TermStructure@TradeDate,
  #Period = TermStructure@Period,
  Date = TermStructure@Date,
  SpotRate = TermStructure@SpotRate,
  ForwardRate = TermStructure@ForwardRate,
  TwoYearFwd = TermStructure@TwoYearFwd,
  TenYearFwd = TermStructure@TenYearFwd)
  }