hello all. i have been trying to develop a representation (in the S4 sense) for
a floating cash object, which would store a cash amount as a function of an
arbitrary number of variables (with unknown values). for example, an interest
rate swap may call for a payment in one year that can be represented as a
function of a 3-month libor rate to be determined in nine months. this floating
cash amount would be represented as, say, 250000*L (i am omitting some of the
details leading to the scalar), where L is the unknown rate. it will be
necessary for addition and multiplication operations (among others) to make
sense for the class. i haven't found R to be particularly accommodating of
this type of problem, in particular of the algebraic computations necessary to
make addition and multiplication work.
my best thought so far was to have one slot in the representation be an
expression object that would evaluate to a numeric cash object, if the
evaluation were to take place in an environment where all the variables were
ultimately bound to numerics (in the example above, expression(250000*L) would
fill the slot). this approach leads me to the following questions:
(i) does R have any native computer algebra functionality that would allow
> expression(250000*L) + expression(250000*M)
to evaluate to
[1] expression(250000*(L+M))
(ii) if not, does anyone have experience with integrating available computer
algebra platforms (such as Mathomatic, which Gabor discussed in an earlier
thread, but maybe not Mathomatic, because of its lack of natural log support)
with R, i.e, passing expressions out for algebraic computations and then
returning the result? are there any packages available to provide APIs to any
systems? Any open source systems?
(iii) is there another way to handle all this other than algebraic manipulation
of expressions? even though i can't complete the thought, i keep picturing
a massive n-dimensional array (if n is the total number of unknowns i am dealing
with) that would somehow store scalars associated with all the possible
combinations of variables? does that thought have a future? (please ignore
this last question if i am not, as is often the case, making sense)
thanks in advance for any help.
franklin parlamis
