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POCombining time-series objects and lists: Package "termstrc"
 

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  1. POCombining time-series objects and lists: Package "termstrc"
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    <p>The R package "termstrc", designed for term-structure estimation, is an incredibly useful tool, but it requires data to be set in a particularly awkward format: lists within lists.</p> <p><strong>Question</strong>: What is the best way to prepare and shape data, either outside R or inside R, in order to create the repeated sublist format required to run the function "dyncouponbonds"?</p> <p>The "dyncouponbonds" command requires data to be set in a repeated sublist, whereby a list of bonds and time-invariant features of those bonds (let's call this "bondlist"), is appended with some time t features of those bonds (price and accrued interest), and replicated for time t+1 to T. </p> <p>Below is an example of the list format for one period. The "dyncouponbonds" command requires this format to be replicated, within an umbrella list, for all T periods. ISIN, MATURITYDATE, ISSUEDATE, COUPONRATE will be identical for each period. PRICE, ACCRUED, CASHFLOWS and TODAY will be different for each period. </p> <pre><code>R&gt; str(govbonds$GERMANY) List of 8 $ ISIN : chr [1:52] "DE0001141414" "DE0001137131" "DE0001141422" ... $ MATURITYDATE:Class 'Date' num [1:52] 13924 13952 13980 14043 ... $ ISSUEDATE :Class 'Date' num [1:52] 11913 13215 12153 13298 ... $ COUPONRATE : num [1:52] 0.0425 0.03 0.03 0.0325 ... $ PRICE : num [1:52] 100 99.9 99.8 99.8 ... $ ACCRUED : num [1:52] 4.09 2.66 2.43 2.07 ... $ CASHFLOWS :List of 3 ..$ ISIN: chr [1:384] "DE0001141414" "DE0001137131" "DE0001141422" ... ..$ CF : num [1:384] 104 103 103 103 ... ..$ DATE:Class 'Date' num [1:384] 13924 13952 13980 14043 ... $ TODAY :Class 'Date' num 13908 </code></pre>
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