get-methods: Generic method to return the value of certain term(s) or...

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

Generic method to return the value of certain term(s) or parameter(s) of an ACTUS object

Description

Implemented e.g. for ContractModel where get returns the value of defined contract term(s) or for RiskFactor, ValuationModel, and whatever object of this package that is carrying parameters. Note that argument what has to refer to the exact names of the terms or parameters to retrieve. Whenever possible, the method converts the values to an R data format before returning. However, some terms (e.g. DayCountConvention for a PrincipalAtMaturity) cannot be converted why the Java reference is returned.

Each element of the what parameter is expected to point to an element in the RiskFactorConnector by their 'keys'. All elements that can be found in RiskFactorConnector are returned.

Allows to retrieve certain information of a portfolio. In particular, this is a convenience function to access the Reference Class's fields. Further, using what='size' the number of contracts in the Portfolio is returned, for what='ids' a vector of ContractID ContractTerms of the contracts is returned, and if what=[ContractID] with [ContractID] the ContractID of a particular contract in the portfolio then the respective contract is returned.

A convenience-wrapper to access values of the fields of a PortfolioTree.

Usage

get(object, what, ...)

## S4 method for signature 'ContractModel,character'
get(object, what)

## S4 method for signature 'RiskFactorConnector,character'
get(object, what)

## S4 method for signature 'ContractType,character'
get(object, what)

## S4 method for signature 'YieldCurve,character'
get(object, what, ...)

## S4 method for signature 'DiscountingEngine,character'
get(object, what)

## S4 method for signature 'EventSeries,character'
get(object, what)

## S4 method for signature 'Portfolio,character'
get(object, what, ...)

## S4 method for signature 'CAPMEngine,character'
get(object, what)

## S4 method for signature 'DynamicYieldCurve,character'
get(object, what, ...)

## S4 method for signature 'ForeignExchangeRate,character'
get(object, what, ...)

## S4 method for signature 'PortfolioTree,character'
get(object, what)

## S4 method for signature 'ReferenceIndex,character'
get(object, what, ...)

Arguments

object	A PortfolioTree-object
what	A character (-vector) specifying the names of fields to return values for
...

Value

A single element or vector of elements representing the values of the requested terms

an object of class RiskFactor with 'MarketObjectCode'=what parameter

The respective field or other information element

A list of values of the specified fields

See Also

terms,set

add, remove

set

set

Examples

pam = Pam()
terms(pam) # get all term names
get(pam, what="NotionalPrincipal") # return value is numeric
get(pam, what="DayCountConvention") # Java reference is returned

yc <- YieldCurve() # create a YieldCurve object
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_Prim",
    Nodes = list(ReferenceDate = "2015-01-01", 
    Tenors = tenors, Rates = rates)))

ind <- Index() # create a ReferenceIndex object
times <- c("2015-01-01", "2016-01-01", "2017-01-01", "2018-01-01",
           "2019-01-01")
values <- c(100, 110, 120, 130, 140)
set(ind, what=list(MarketObjectCode = "CHF_SMI",
    Data=list(Dates=times,Values=values)))
    
rf <- RFConn() # create a RiskFactorConnector object
add(rf,list(yc,ind)) # add all risk factors to the RiskFactorConnector
get(rf, "YC_Prim")

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

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

# retrieve list of contracts
class(get(ptf, what="contracts"))

# retrieve portfolio size (number of contracts)
get(ptf, what="size")

# retrieve ids of contracts in portfolio
get(ptf, what="ids")

# retrieve contract with specific id
get(ptf, what="110")

tree=Tree()
get(tree,what="leafs")
set(tree, what=list(leafs=list(L1=c(1001,1002),L2=c(1003,1004))))
get(tree,what="leafs")

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