R help - Jan 2010 - Please Please Please Help me!!

Dear R helpers
 
(I have already written the required R code which is giving me correct results
for a given single set of data. I just wish to wish to use it for multiple
data.)
 
I have defined a function (as given below) which helps me calculate Macaulay
Duration and Modified Duration and its working fine with given set of data.
 
My Code -
 
## ONS - PPA
 
duration = function(par_value, coupon_rate, frequency_copoun, tenure, ytm)
 
{
macaulay_duration  =   NULL
modified_duration    =   NULL 
freq_coupon_new    =   NULL
 
if(frequency_copoun <= 0)
{
    freq_coupon_new = 365
} 
 
if(frequency_copoun > 0 & frequency_copoun <= 1)
{
    freq_coupon_new = 12
} 
 
if(frequency_copoun > 1 & frequency_copoun <= 2)
{
    freq_coupon_new = 4
} 
 
if(frequency_copoun > 2 & frequency_copoun <= 3)
{
    freq_coupon_new = 2
} 
 
if(frequency_copoun > 3 & frequency_copoun <= 4)
{
    freq_coupon_new = 1
} 
 
## COMPUTATIONS
 
terms_coupon_payment  = (seq(1/freq_coupon_new, tenure, by =
1/freq_coupon_new))*freq_coupon_new
coupon                        = coupon_rate*par_value/100
coupon_amount            = coupon/(freq_coupon_new)
cash_flow1                  = rep(c(coupon_amount), (tenure*freq_coupon_new -
1))
cash_flow2                  = par_value + coupon_amount
cash_flow                   = c(cash_flow1, cash_flow2) 
 
ytm_effective              = ((1+ytm/100)^(1/freq_coupon_new))-1
 
pv = NULL
 
for (i in 1:(tenure*freq_coupon_new))
 {
   pv[i] = cash_flow[i] / ((1+ytm_effective)^terms_coupon_payment[i])
 }
 
macaulay_duration = sum(pv*terms_coupon_payment)/sum(pv)
modified_duration = macaulay_duration / (1+(ytm_effective)/freq_coupon_new)
 
return(data.frame(macaulay_duration, modified_duration))
 
}

### For a given data say 
 
result = duration(par_value = 1000, coupon_rate = 10, frequency_copoun = 0,
tenure = 5, ytm = 12)

I get the output as 
 
  macaulay_duration modified_duration
1          1423.797          1423.795
 
## __________________________________________________________________
 
## MY PROBLEM
 
If instead of having only one set of data, suppose I have multiple data (say as
given below in a csv file), I am not able to get these results.
 
Suppose my 'input.csv' file is as given below.
 
par_value    coupon_rate   frequency_copoun     tenure    ytm
 
  1000                  10                 0                        5          
12
    100                  
7                  1                       8            11
 
 
Sir, I am not asking for the modification of existing code as it is running fine
with a single set of data (and I have checked that the output tallies with other
methods). I just want to use this code for multiple data so that I get an output
something like
 
         maculay_duration                    modified_duration
 
          1423.797                                   1423.795
 
             44.339                                       44.307
 
I request you to please guide me. I undesratnd its not my right to seek help,
but this is for the third time I am requesting to guide me.
 
Thanking you all
 
Regards
 
Madhavi
 
 
 
 


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Madhavi Bhave wrote:
> 
> ?
> (I have already written the required R code which is giving me correct
> results for a given single set of data. I just wish to wish to use it for
> multiple data.)
> 
It's fine that you posted the working part; in general, for posting you
should simplify the thing that do work to the bare bones (see example below)


Madhavi Bhave wrote:
> 
> I have defined a function (as given below) which helps me calculate
> Macaulay Duration and Modified Duration and its working fine with given
> set of data.
> 
> I just want to use this code for multiple data so that I get an output
> something like
> 
> ???????? maculay_duration??????????????????? modified_duration
> ?
> ????????? 1423.797?????????????????????????????????? 1423.795
> ?
> ???????????? 44.339?????????????????????????????????????? 44.307
> ?
> 
The most elegant approach uses package plyr; you even get the function
parameters in your output.

library(plyr)
# simplified version of your original function
duration = function(par_value, coupon_rate) 
{
  data.frame(macaulay_duration=2*par_value,modified_duration=3*coupon_rate) 
}

# use read.table in your application instead of the line below
pars = data.frame(par_value=c(1000,100), coupon_rate=c(10,7))

mdply(pars,.fun=duration)
#  par_value coupon_rate macaulay_duration modified_duration
#1      1000          10              2000                30
#2



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Hello

On Wed, Jan 20, 2010 at 7:00 AM, Madhavi Bhave <madhavi_bhave at
yahoo.com> wrote:
> Sir, I am not asking for the modification of existing code as it is running
fine with a single set of data (and I have checked that the output tallies with
other methods). I just want to use this code for multiple data so that I get an
output something like
>
> ???????? maculay_duration??????????????????? modified_duration
>
> ????????? 1423.797?????????????????????????????????? 1423.795
>
> ???????????? 44.339?????????????????????????????????????? 44.307
>
I am not sure that this would be the most efficient, but see if
something similar does the job for you:
x <- matrix(NA, 5,2); x
for (i in 1:5){
    x1 <- cbind(mean(rnorm(100)), mean(runif(100)))  ## use duration()
instead of cbind() and r*() funs
    x[i, ] <- x1
}
x

Liviu