Hi Katherine,Not sure if this helps. I was able to the result after making up
some additional conditions into your function.
fun1 <- function(x){
lst1 <- lapply(seq(n-1),function(i){
with(x,if(maturity_period >D[i] & maturity_period <D[i+1]){
data.frame(N1=paste(curve,T[i],sep="_"),N2=paste(curve,T[i+1],sep="_"),PV1=mtm*root,PV2=(mtm)*(1-root))
}
else if(maturity_period < D[i]) {
data.frame(N1=paste(curve,T[i],sep="_"),N2=paste(curve,T[i],sep="_"),PV1=mtm,PV2=0)
}
else if(maturity_period >D[i+1]) {
data.frame(N1=paste(curve,T[i],sep="_"),N2=paste(curve,T[i],sep="_"),PV1=0,PV2=mtm)
}
)
}
)
dat2 <- cbind(id=x$id,do.call(rbind,lst1))
indx <- with(dat2,PV1!=0 & PV2!=0)
dat2New<- if(!any(indx)){
dat2[1,]
}
else dat2[indx,]
colnames(dat2New)[-1]
<-paste0(paste0("Risk_factor",rep(1:2,2)),rep(c("","_mtm"),each=2))
dat2New
}
ddply(dat,.(id),fun1)
# id Risk_factor1 Risk_factor2 Risk_factor1_mtm Risk_factor2_mtm
#1 1 USD_1m USD_1m 1000 0
#2 2 USD_3m USD_6m 2000 8000
#3 3 USD_12m USD_5yr 74000 26000
A.K.
On Tuesday, February 4, 2014 7:22 AM, Katherine Gobin
<katherine_go...@yahoo.com> wrote:
Dear R forum,
I have following data.frames
dat = data.frame(id = c(1:3), root = c(0.10, 0.20, 0.74), maturity_period =
c(20, 155, 428), mtm = c(1000, 10000, 100000), curve = c("USD", "USD", "USD"))
> dat
id root maturity_period mtm curve
1 1 0.10 20 1e+03 USD
2 2 0.20 155 1e+04 USD
3 3 0.74 428 1e+05 USD
standard_tenors = data.frame(T = c("1m", "3m", "6m", "12m", "5yr"), D = c(30,
91, 182, 365, 1825))
> standard_tenors
T D
1 1m 30
2 3m 91
3 6m 182
4 12m 365
5 5yr 1825
#
.................................................................................................................
library(plyr)
T = standard_tenors$T
D = standard_tenors$D
n = length(standard_tenors$T)
mtm_split_function = function(maturity_period, curve, root, mtm)
{
for(i in 1:(n-1))
{
if (maturity_period < D[i])
{
N1 = paste(curve, T[i], sep ="_")
N2 = paste(curve, T[i], sep ="_")
PV1 = mtm
PV2 = 0
}else
if (maturity_period > D[i] & maturity_period < D[i+1])
{
N1 = paste(curve, T[i], sep ="_")
N2 = paste(curve, T[1+1], sep ="_")
PV1 = (mtm)*root
PV2 = (mtm)*(1-root)
}else
if (maturity_period > D[i+1])
{
N1 = paste(curve, T[i], sep ="_")
N2 = paste(curve, T[i], sep ="_")
PV1 = 0
PV2 = mtm
}
}
return(data.frame(Risk_factor1 = N1, Risk_factor2 = N2, Risk_factor1_mtm = PV1,
Risk_factor2_mtm = PV2))
}
#
.....................................................................................................................
splitted_mtm <- ddply(.data = dat, .variables = "id",
.fun=function(x) mtm_split_function(maturity_period =
x$maturity_period, curve = x$curve, root = x$root, mtm = x$mtm))
# OUTPUT I am getting
id Risk_factor1 Risk_factor2 Risk_factor1_mtm Risk_factor2_mtm
1 1 USD_12m USD_12m 1000 0
2 2 USD_12m USD_12m 10000 0
3 3 USD_12m USD_3m 74000 26000
# My PROBLEM
However, My OUTPUT should be
id Risk_factor1 Risk_factor2 Risk_factor1_mtm Risk_factor2_mtm
1 1 USD_1m USD_1m 1000 0
2 2 USD_3m USD_6m 2000 8000
3 3 USD_12m USD_5yr 74000 26000
Kindly guide
With warm regards
Katherine
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and provide commented, minimal, self-contained, reproducible code.
