RcppExport SEXP cfamounts(SEXP params){
SEXP rl=R_NilValue;
char* exceptionMesg=NULL;
try{
RcppParams rparam(params);
QuantLib::Date maturity(dateFromR(rparam.getDateValue("Maturity")));
QuantLib::Date settle(dateFromR(rparam.getDateValue("Settle")));
QuantLib::Date issue(dateFromR(rparam.getDateValue("IssueDate")));
double rate = rparam.getDoubleValue("CouponRate");
std::vector<double> rateVec(1, rate);
double faceAmount = rparam.getDoubleValue("Face");
double period = rparam.getDoubleValue("Period");
double basis = rparam.getDoubleValue("Basis");
DayCounter dayCounter = getDayCounter(basis);
Frequency freq = getFrequency(period);
Period p(freq);
double EMR = rparam.getDoubleValue("EMR");
Calendar calendar=UnitedStates(UnitedStates::GovernmentBond);
Schedule sch(settle, maturity, p, calendar,
Unadjusted, Unadjusted, DateGeneration::Backward,
(EMR == 1)? true : false);
FixedRateBond bond(1, faceAmount, sch, rateVec, dayCounter, Following,
100, issue);
//cashflow
int numCol = 2;
std::vector<std::string> colNames(numCol);
colNames[0] = "Date";
colNames[1] = "Amount";
RcppFrame frame(colNames);
Leg bondCashFlow = bond.cashflows();
for (unsigned int i = 0; i< bondCashFlow.size(); i++){
std::vector<ColDatum> row(numCol);
Date d = bondCashFlow[i]->date();
row[0].setDateValue(RcppDate(d.month(), d.dayOfMonth(), d.year()));
row[1].setDoubleValue(bondCashFlow[i]->amount());
frame.addRow(row);
}
RcppResultSet rs;
rs.add("cashFlow", frame);
rl = rs.getReturnList();
} catch(std::exception& ex) {
exceptionMesg = copyMessageToR(ex.what());
} catch(...) {
exceptionMesg = copyMessageToR("unknown reason");
}
if(exceptionMesg != NULL)
Rf_error(exceptionMesg);
return rl;
}
BMAIndex::BMAIndex(const Handle<YieldTermStructure>& h)
: InterestRateIndex("BMA",
1 * Weeks,
1,
USDCurrency(),
UnitedStates(UnitedStates::NYSE),
ActualActual(ActualActual::ISDA)),
termStructure_(h) {
registerWith (h);
}
THBFIX(const Period& tenor,
const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>())
: IborIndex("THBFIX", tenor,
2,
THBCurrency(),
JointCalendar(UnitedKingdom(UnitedKingdom::Exchange),
JointCalendar(UnitedStates(UnitedStates::LiborImpact),
Thailand())),
ModifiedFollowing, true,
Actual365Fixed(), h) {}
UsdLiborSwapIsdaFixPm::UsdLiborSwapIsdaFixPm(
const Period& tenor,
const Handle<YieldTermStructure>& h)
: SwapIndex("UsdLiborSwapIsdaFixPm", // familyName
tenor,
2, // settlementDays
USDCurrency(),
UnitedStates(UnitedStates::GovernmentBond),
6*Months, // fixedLegTenor
ModifiedFollowing, // fixedLegConvention
Thirty360(Thirty360::BondBasis), // fixedLegDaycounter
boost::shared_ptr<IborIndex>(new USDLibor(3*Months, h))) {}
RcppExport SEXP cfdates(SEXP params){
SEXP rl = R_NilValue;
char* exceptionMesg = NULL;
try {
RcppParams rparam(params);
double basis = rparam.getDoubleValue("dayCounter");
DayCounter dayCounter = getDayCounter(basis);
double p = rparam.getDoubleValue("period");
Frequency freq = getFrequency(p);
Period period(freq);
double emr = rparam.getDoubleValue("emr");
bool endOfMonth = false;
if (emr == 1) endOfMonth = true;
QuantLib::Date d1(dateFromR(rparam.getDateValue("settle")));
QuantLib::Date d2(dateFromR(rparam.getDateValue("maturity")));
Calendar calendar=UnitedStates(UnitedStates::GovernmentBond);
Schedule sch(d1, d2, period, calendar, Unadjusted,
Unadjusted, DateGeneration::Backward, endOfMonth);
//cfdates
int numCol = 1;
std::vector<std::string> colNames(numCol);
colNames[0] = "Date";
RcppFrame frame(colNames);
std::vector<QuantLib::Date> dates = sch.dates();
for (unsigned int i = 0; i< dates.size(); i++){
std::vector<ColDatum> row(numCol);
Date d = dates[i];
row[0].setDateValue(RcppDate(d.month(), d.dayOfMonth(), d.year()));
frame.addRow(row);
}
RcppResultSet rs;
rs.add("", frame);
rl = rs.getReturnList();
}
catch(std::exception& ex) {
exceptionMesg = copyMessageToR(ex.what());
} catch(...) {
exceptionMesg = copyMessageToR("unknown reason");
}
if(exceptionMesg != NULL)
Rf_error(exceptionMesg);
return rl;
}
FedFunds::FedFunds(const Handle<YieldTermStructure>& h)
: OvernightIndex("FedFunds", 0,
USDCurrency(),
UnitedStates(UnitedStates::Settlement),
Actual360(), h) {}
