R/Events.R

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

#*************************************************************
# Copyright (c) 2015 by ZHAW.
# Please see accompanying distribution file for license.
#*************************************************************

##############################################################
#' Derive the events for a \code{ContractType}
#'
#' Method generating the \code{\link{EventSeries}} of a contract, cf. section Details.
#'
#' @param object The \code{ContractType} for which to derive the events
#'
#' @param ad The analysis date as per which all future events are to be derived
#'
#' @param model (optional) The \code{RiskFactorConnector} conditional to which events are computed
#'  
#' @return A \code{EventSeries} object containing the resulting events
#'
#' @details 
#' The events of a contract are directly derived from the legal obligations 
#' defined therein. Events mark the exchange of a cash flow among the parties
#' involved in the contract or changes in the inner states of the contract
#' affecting cash flows to be exchanged in future. 
#' As such, \code{events} methods generates the
#' raw results that are the input for many financial analyses.
#' 
#' @seealso \link{ContractType}, \link{EventSeries}, \link{RiskFactorConnector}
#'
#' @examples
#' # define the contract
#' pam <- Pam(ContractID = "001",
#'            Currency = "CHF",
#'            ContractRole = "RPA",               
#'            StatusDate = "2016-05-30",
#'            ContractDealDate = "2016-05-30",
#'            InitialExchangeDate = "2016-05-30",
#'            MaturityDate = "2020-06-01",
#'            NotionalPrincipal = 1000,
#'            NominalInterestRate = 0.05,
#'            CycleAnchorDateOfInterestPayment = "2017-06-01",
#'            CycleOfInterestPayment = "P1YL1",
#'            CycleAnchorDateOfRateReset = "2017-06-01",
#'            CycleOfRateReset = "P1YL1",
#'            MarketObjectCodeOfRateReset = "RiskFreeYC",
#'            DayCountConvention = "30E360")
#'
#' ad <- "2016-06-01"
#'
#' yc <- YieldCurve(label = "RiskFreeYC",
#'                  ReferenceDate = ad, 
#'                  Tenors = c("1W", "1M", "6M", "1Y", "2Y", "5Y"), 
#'                  Rates = c(0.001, 0.0015, 0.002, 0.01, 0.02, 0.03))
#'
#' rf <- RFConn(yc)
#' set(pam, rf)
#'
#' evs <- events(pam, ad)
#' as.data.frame(evs)
#' 
#' @export
#' @docType methods
#' @rdname ev-methods
setGeneric(name = "events", def = function(object, ad, model, ...){
  standardGeneric("events")
})

#' @include ContractType.R
#' @include AnalysisDate.R
#' @export
#' @rdname ev-methods
setMethod(f = "events", signature = c("ContractType", "character", "missing"),
          definition = function(object, ad, model){
            return(events(object, AD0(ad)))
          })

#' @include ContractType.R
#' @include AnalysisDate.R
#' @include EventSeries.R
#' @export
#' @rdname ev-methods
setMethod(f = "events", signature = c("ContractType", "AD0", "missing"),
          definition = function(object, ad, model){
            return(EventSeries(object, ad))
          })

#' @include ContractType.R
#' @include AnalysisDate.R
#' @include RiskFactorConnector.R
#' @export
#' @rdname ev-methods
setMethod(f = "events", signature = c("ContractType", "character", "RiskFactorConnector"),
          definition = function(object, ad, model){
            return(events(object, AD0(ad), model))
          })

#' @include ContractType.R
#' @include AnalysisDate.R
#' @include RiskFactorConnector.R
#' @include EventSeries.R
#' @export
#' @rdname ev-methods
setMethod(f = "events", signature = c("ContractType", "AD0", "RiskFactorConnector"),
          definition = function(object, ad, model){
            set(object, model)
            return(EventSeries(object, ad))
          })