RcppExport SEXP holidayList(SEXP calSexp, SEXP params) {
try {
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(calSexp)) );
Rcpp::List rparam(params);
int iw = Rcpp::as<int>(rparam["includeWeekends"]);
std::vector<QuantLib::Date>
holidays = QuantLib::Calendar::holidayList(*pcal,
QuantLib::Date(dateFromR(Rcpp::as<Rcpp::Date>( rparam["from"]))),
QuantLib::Date(dateFromR(Rcpp::as<Rcpp::Date>( rparam["to"] ))),
iw == 1 ? true : false);
if (holidays.size() > 0) {
Rcpp::DateVector dv( holidays.size() );
for (unsigned int i = 0; i< holidays.size(); i++){
dv[i] = Rcpp::Date(holidays[i].month(), holidays[i].dayOfMonth(), holidays[i].year());
}
return Rcpp::wrap(dv);
} else {
return R_NilValue;
}
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
RcppExport SEXP businessDaysBetween(SEXP calSexp, SEXP params,
SEXP from, SEXP to){
try {
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(calSexp)) );
Rcpp::List rparam(params);
double ifirst = Rcpp::as<double>(rparam["includeFirst"]);
double ilast = Rcpp::as<double>(rparam["includeLast"]);
Rcpp::DateVector dates1 = Rcpp::DateVector(from);
Rcpp::DateVector dates2 = Rcpp::DateVector(to);
int n = dates1.size();
std::vector<double> between(n);
for (int i=0; i<n; i++) {
QuantLib::Date day1( dateFromR(dates1[i]) );
QuantLib::Date day2( dateFromR(dates2[i]) );
between[i] = pcal->businessDaysBetween(day1, day2,
(ifirst == 1) ? true: false,
(ilast == 1) ? true: false);
}
return Rcpp::wrap(between);
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
RcppExport SEXP advance2(SEXP calSexp, SEXP param, SEXP dateSexp){
try {
boost::shared_ptr<QuantLib::Calendar> pcal( getCalendar(Rcpp::as<std::string>(calSexp)) );
Rcpp::List rparam(param);
QuantLib::BusinessDayConvention bdc = getBusinessDayConvention( Rcpp::as<double>(rparam["bdc"]) );
double emr = Rcpp::as<double>(rparam["emr"]);
double period = Rcpp::as<double>(rparam["period"]);
Rcpp::DateVector dates = Rcpp::DateVector(dateSexp);
int n = dates.size();
std::vector<QuantLib::Date> advance(n);
for (int i=0; i<n; i++) {
QuantLib::Date day( dateFromR(dates[i]) );
advance[i] = pcal->advance(day, QuantLib::Period(getFrequency(period)),
bdc, (emr == 1)?true:false );
dates[i] = Rcpp::Date(advance[i].month(),
advance[i].dayOfMonth(),
advance[i].year());
}
return Rcpp::wrap(dates);
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
// test for list(foo = c(1L,2L)
RcppExport SEXP test_rlist_ref_var_context1(SEXP params) {
BEGIN_RCPP;
Rcpp::List rparam(params);
rstan::io::rlist_ref_var_context rlist_(rparam);
Rprintf("Test1 started.\n-------\n");
// test for list(foo = c(1L,2L)
EXPECT_TRUE(rlist_.contains_i("foo"));
EXPECT_TRUE(rlist_.contains_r("foo"));
EXPECT_EQ(2U,rlist_.vals_i("foo").size());
EXPECT_EQ(1,rlist_.vals_i("foo")[0]);
EXPECT_EQ(2,rlist_.vals_i("foo")[1]);
EXPECT_FLOAT_EQ(1.0,rlist_.vals_r("foo")[0]);
EXPECT_FLOAT_EQ(2.0,rlist_.vals_r("foo")[1]);
EXPECT_TRUE(rlist_.remove("foo"));
EXPECT_FALSE(rlist_.remove("foo"));
EXPECT_FALSE(rlist_.contains_i("foo"));
EXPECT_FALSE(rlist_.contains_r("foo"));
return Rcpp::wrap(int(0));
Rprintf("Test1 ended.\n-------\n");
END_RCPP;
}
RcppExport SEXP test_rlist_ref_var_context3(SEXP params) {
BEGIN_RCPP;
Rcpp::List rparam(params);
rstan::io::rlist_ref_var_context rlist_(rparam);
Rprintf("Test3 started.\n-------\n");
EXPECT_TRUE(rlist_.contains_i("foo"));
EXPECT_TRUE(rlist_.contains_r("foo"));
EXPECT_TRUE(rlist_.contains_r("bar"));
EXPECT_FALSE(rlist_.contains_r("baz"));
EXPECT_FALSE(rlist_.contains_i("bingz"));
EXPECT_EQ(2U,rlist_.vals_i("foo").size());
EXPECT_EQ(1U,rlist_.vals_r("bar").size());
EXPECT_EQ(1,rlist_.vals_i("foo")[0]);
EXPECT_EQ(2,rlist_.vals_i("foo")[1]);
EXPECT_FLOAT_EQ(1.0,rlist_.vals_r("foo")[0]);
EXPECT_FLOAT_EQ(2.0,rlist_.vals_r("foo")[1]);
EXPECT_FLOAT_EQ(1.0,rlist_.vals_r("bar")[0]);
EXPECT_EQ(6U,rlist_.vals_r("bing").size());
EXPECT_FLOAT_EQ(2.0,rlist_.vals_r("bing")[2]);
EXPECT_EQ(2U, rlist_.dims_r("bing").size());
EXPECT_EQ(2U, rlist_.dims_r("bing")[0]);
EXPECT_EQ(3U, rlist_.dims_r("bing")[1]);
EXPECT_TRUE(rlist_.remove("bing"));
EXPECT_FALSE(rlist_.remove("bing"));
Rprintf("Test3 ended.\n-------\n");
return Rcpp::wrap(int(0));
END_RCPP;
}
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;
}
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;
}
RcppExport SEXP AsianOption(SEXP optionParameters){
try{
Rcpp::List rparam(optionParameters);
std::string avgType = Rcpp::as<std::string>(rparam["averageType"]);
std::string type = Rcpp::as<std::string>(rparam["type"]);
double underlying = Rcpp::as<double>(rparam["underlying"]);
double strike = Rcpp::as<double>(rparam["strike"]);
QuantLib::Spread dividendYield = Rcpp::as<double>(rparam["dividendYield"]);
QuantLib::Rate riskFreeRate = Rcpp::as<double>(rparam["riskFreeRate"]);
QuantLib::Time maturity = Rcpp::as<double>(rparam["maturity"]);
// int length = int(maturity*360 + 0.5); // FIXME: this could be better
double volatility = Rcpp::as<double>(rparam["volatility"]);
QuantLib::Option::Type optionType = getOptionType(type);
//from test-suite/asionoptions.cpp
QuantLib::DayCounter dc = QuantLib::Actual360();
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);
boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
boost::shared_ptr<QuantLib::BlackScholesMertonProcess>
stochProcess(new
QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType,strike));
QuantLib::Average::Type averageType = QuantLib::Average::Geometric;
Rcpp::List rl = R_NilValue;
if (avgType=="geometric"){
averageType = QuantLib::Average::Geometric;
boost::shared_ptr<QuantLib::PricingEngine>
engine(new
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine(stochProcess));
QuantLib::Date exDate = today + int(maturity * 360 + 0.5);
boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
QuantLib::ContinuousAveragingAsianOption option(averageType, payoff, exercise);
option.setPricingEngine(engine);
rl = Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = option.delta(),
Rcpp::Named("gamma") = option.gamma(),
Rcpp::Named("vega") = option.vega(),
Rcpp::Named("theta") = option.theta(),
Rcpp::Named("rho") = option.rho(),
Rcpp::Named("divRho") = option.dividendRho(),
Rcpp::Named("parameters") = optionParameters);
} else if (avgType=="arithmetic"){
averageType = QuantLib::Average::Arithmetic;
boost::shared_ptr<QuantLib::PricingEngine> engine =
QuantLib::MakeMCDiscreteArithmeticAPEngine<QuantLib::LowDiscrepancy>(stochProcess)
.withSamples(2047)
.withControlVariate();
//boost::shared_ptr<PricingEngine> engine =
// MakeMCDiscreteArithmeticASEngine<LowDiscrepancy>(stochProcess)
// .withSeed(3456789)
// .withSamples(1023);
QuantLib::Size fixings = Rcpp::as<double>(rparam["fixings"]);
QuantLib::Time length = Rcpp::as<double>(rparam["length"]);
QuantLib::Time first = Rcpp::as<double>(rparam["first"]);
QuantLib::Time dt = length / (fixings - 1);
std::vector<QuantLib::Time> timeIncrements(fixings);
std::vector<QuantLib::Date> fixingDates(fixings);
timeIncrements[0] = first;
fixingDates[0] = today + QuantLib::Integer(timeIncrements[0] * 360 + 0.5);
for (QuantLib::Size i=1; i<fixings; i++) {
timeIncrements[i] = i*dt + first;
fixingDates[i] = today + QuantLib::Integer(timeIncrements[i]*360+0.5);
}
QuantLib::Real runningSum = 0.0;
QuantLib::Size pastFixing = 0;
boost::shared_ptr<QuantLib::Exercise>
exercise(new QuantLib::EuropeanExercise(fixingDates[fixings-1]));
QuantLib::DiscreteAveragingAsianOption option(QuantLib::Average::Arithmetic,
runningSum,
pastFixing,
fixingDates,
payoff,
exercise);
option.setPricingEngine(engine);
rl = Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = R_NaN,
Rcpp::Named("gamma") = R_NaN,
Rcpp::Named("vega") = R_NaN,
Rcpp::Named("theta") = R_NaN,
Rcpp::Named("rho") = R_NaN,
Rcpp::Named("divRho") = R_NaN,
Rcpp::Named("parameters") = optionParameters);
} else {
throw std::range_error("Unknown average type " + type);
}
return rl;
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
