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;
}
RcppDateVector::RcppDateVector(SEXP vec) {
int i;
if (!Rf_isNumeric(vec) || Rf_isMatrix(vec) || Rf_isLogical(vec))
throw std::range_error("RcppDateVector: invalid numeric vector in constructor");
int len = Rf_length(vec);
if (len == 0)
throw std::range_error("RcppDateVector: null vector in constructor");
v.resize(len);
for (i = 0; i < len; i++)
v[i] = RcppDate( (int) REAL(vec)[i]);
}
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;
}
RcppDate RcppParams::getDateValue(std::string name) {
std::map<std::string,int>::iterator iter = pmap.find(name);
if (iter == pmap.end()) {
std::string mesg = "RcppParams::getDateValue: no such name: ";
throw std::range_error(mesg+name);
}
int posn = iter->second;
SEXP elt = VECTOR_ELT(_params,posn);
if (!Rf_isNumeric(elt) || Rf_length(elt) != 1) {
std::string mesg = "RcppParams::getDateValue: invalide date: ";
throw std::range_error(mesg+name);
}
int d;
if (Rf_isReal(elt)) // R stores julian value in a double.
d = (int)REAL(elt)[0];
else {
std::string mesg = "RcppParams::getDateValue: invalid value for: ";
throw std::range_error(mesg+name);
}
return RcppDate(d);
}
