exprt-methods: export the contract events and further results of a portfolio

In wbreymann/FEMS: R Package for Financial Enterprise Modelling and Simulation

export the contract events and further results of a portfolio

Description

This method allows to export the ACTUS contract events and further results such as discount factors (if computed) or selection criteria (if added) for a portfolio to a flat-file.

Usage

export(object, file, sep)

## S4 method for signature 'Portfolio'
export(object, file = "./events.txt", sep = ",")

Arguments

object	The portfolio whose events and further results to export. Can be an object of class Portfolio or PortfolioFast.
file	A character containing the file path with name to the target file
sep	A character containing the separator to be used when writing the file

See Also

Portfolio,PortfolioFast,import

Examples

# define analysis data
ad <- "2015-01-02T00"

# construct portfolio
data(BondPortfolio)
ptf <- PortfolioFast()
import(ptf,BondPortfolio, valuationEngines=TRUE)

# construct market model
yc <- YieldCurve()
tenors <- c("1W", "1M", "6M", "1Y", "2Y", "5Y")
rates <- c(0.001, 0.0015, 0.002, 0.01, 0.02, 0.03)
set(yc, what = list(
MarketObjectCode = "YC_EA_AAA",
Nodes = list(ReferenceDate = ad, 
Tenors = tenors, Rates = rates)))

cpi <- Index()
times <- c("2015-01-01T00", "2016-01-01T00", "2017-01-01T00", "2018-01-01T00",
"2019-01-01T00")
values <- c(100, 110, 120, 130, 140)
set(cpi, what=list(
MarketObjectCode = "IND_CPI_EA",
Data=list(Dates=times,Values=values)))

rf <- RFConn()
add(rf, list(yc, cpi))

# assign market model to portfolio
set(ptf, rf, valuationEngines=TRUE)

# generate and process events
generateEvents(ptf, ad0=ad)
processEvents(ptf, ad0=ad)

# export events to external file
export(ptf, file="./temp.txt", sep=";")
# ... and import again to check results structure
res <- read.table("./temp.txt", sep=";", header=TRUE)
str(res)

wbreymann/FEMS documentation built on May 6, 2024, 2:19 p.m.