Merge pull request #5 from Techtonique/try-renaming2

renaming package to lower case esgtoolkit and include functions for yield curve interpolation and extrapolation (previously available in package ycinterextra)

Author: thierrymoudiki

.gitignore

@@ -5,7 +5,7 @@
 src/*.o
 src/*.so
 src/*.dll
-ESGtoolkit.Rcheck/
-ESGtoolkit*.tar.gz
-ESGtoolkit*.tgz
+esgtoolkit.Rcheck/
+esgtoolkit*.tar.gz
+esgtoolkit*.tgz
 docs

CONTRIBUTING.md

@@ -1,4 +1,4 @@
-# `ESGtoolkit` Code of Conduct
+# `esgtoolkit` Code of Conduct
 
 ## 1. Purpose
 

DESCRIPTION

@@ -1,24 +1,23 @@
-Package: ESGtoolkit
+Package: esgtoolkit
 Type: Package
 Title: Toolkit for Monte Carlo Simulations
-Version: 0.6.2
-Date: 2023-10-01
+Version: 1.0.0
+Date: 2023-10-09
 Authors@R: c(
         person("T.", "Moudiki", , "[email protected]", role = c("aut", "cre")
         )
       )
-URL: https://techtonique.github.io/ESGtoolkit/
-BugReports: https://github.com/Techtonique/ESGtoolkit/issues
+URL: https://github.com/Techtonique/esgtoolkit
+BugReports: https://github.com/Techtonique/esgtoolkit/issues
 Maintainer: T. Moudiki <[email protected]>
 Description: A toolkit for Monte Carlo Simulations in Finance, Economics, Insurance, Physics. Multiple simulation models can be created by combining building blocks provided in the package.   
 License: BSD_3_clause Clear + file LICENSE
-Depends: ggplot2, gridExtra, reshape2, VineCopula, randtoolbox
+Depends: ggplot2, gridExtra, methods, reshape2, VineCopula, randtoolbox
 Imports: Rcpp(>= 0.11.0)
 Suggests: 
     devtools,
     testthat
 LinkingTo: Rcpp
-Collate: 'RcppExports.R' 'calculatereturns.R' 'fwdrates.R' 'discount_factors.R' 'plots.R' 'rates_interpolation.R' 'simulations_risks.R' 'simulations_shocks.R' 'tests.R' 'tools.R' 'zzz.R'
 Packaged: 2014-06-12 23:32:30 UTC; Thierry
 NeedsCompilation: yes
 Repository: CRAN

NAMESPACE

@@ -10,6 +10,14 @@ export(esgplotshocks)
 export(esgplotts)
 export(simdiff)
 export(simshocks)
+export(forwardrates)
+export(ycextra)
+export(ycinter)
+importFrom("graphics", "hist")
+importFrom("methods", "new")
+importFrom("stats", "density", "median", "nlminb", "optim", "pf",
+               "qqline", "qqnorm", "shapiro.test")
+importFrom("utils", "setTxtProgressBar", "txtProgressBar")
 importFrom(ggplot2, ggplot)
 importFrom(ggplot2, qplot)
 importFrom(gridExtra, grid.arrange)
@@ -27,5 +35,5 @@ importFrom("graphics", "abline", "lines", "matplot", "par", "plot",
 importFrom("stats", "cor", "cor.test", "deltat", "end", "is.ts", "pt",
              "qnorm", "qt", "quantile", "sd", "start", "t.test", "time",
              "ts", "tsp", "window")
-useDynLib("ESGtoolkit")
+useDynLib("esgtoolkit")
 

NEWS.md

@@ -1,3 +1,8 @@
+# version 1.0.0
+
+- rename `ESGtoolkit` to `esgtoolkit` (announced [here](https://thierrymoudiki.github.io/blog/2023/10/02/r/esgtoolkit-v062))
+- include `ycinter` and `ycextra` (from package `ycinterextra`, discontinued and unilaterally removed from CRAN)
+
 # version 0.6.2
 
 - **Important:** Starting with 1.0.0, the next version, it will be renamed as: 'esgtoolkit' (to finally remove all my active packages from CRAN)
@@ -20,7 +25,7 @@
 
 - Use [VineCopula](http://tnagler.github.io/VineCopula/) package instead of CDVine (archived) for dependency simulation (means there's also now VineCopula's R-Vine Copulas simulation)
 - Remove roxygen2 comments
-- Create website with pkgdown, including docs --> https://techtonique.github.io/ESGtoolkit/
+- Create website with pkgdown, including docs --> https://techtonique.github.io/esgtoolkit/
 
 
 # version 0.2.0

R/RcppExports.R

@@ -2,38 +2,38 @@
 # Generator token: 10BE3573-1514-4C36-9D1C-5A225CD40393
 
 rnormESGcpp <- function(N, M) {
-    .Call('_ESGtoolkit_rnormESGcpp', PACKAGE = 'ESGtoolkit', N, M)
+    .Call('_esgtoolkit_rnormESGcpp', PACKAGE = 'esgtoolkit', N, M)
 }
 
 rOUESGcpp <- function(N, horizon, Delta, x0, theta, eps) {
-    .Call('_ESGtoolkit_rOUESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta, eps)
+    .Call('_esgtoolkit_rOUESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta, eps)
 }
 
 rOUESGcppexact <- function(N, horizon, Delta, x0, theta, eps) {
-    .Call('_ESGtoolkit_rOUESGcppexact', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta, eps)
+    .Call('_esgtoolkit_rOUESGcppexact', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta, eps)
 }
 
 rCIRESGcpp <- function(N, horizon, Delta, x0, theta, eps) {
-    .Call('_ESGtoolkit_rCIRESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta, eps)
+    .Call('_esgtoolkit_rCIRESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta, eps)
 }
 
 rCIRESGcppexact <- function(N, horizon, Delta, x0, theta, eps) {
-    .Call('_ESGtoolkit_rCIRESGcppexact', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta, eps)
+    .Call('_esgtoolkit_rCIRESGcppexact', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta, eps)
 }
 
 rGBMESGcpp <- function(N, horizon, Delta, x0, theta1, theta2, eps) {
-    .Call('_ESGtoolkit_rGBMESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta1, theta2, eps)
+    .Call('_esgtoolkit_rGBMESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta1, theta2, eps)
 }
 
 rGBMjumpsnormESGcpp <- function(N, horizon, Delta, x0, theta1, theta2, lambda, mu, sigma, eps) {
-    .Call('_ESGtoolkit_rGBMjumpsnormESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta1, theta2, lambda, mu, sigma, eps)
+    .Call('_esgtoolkit_rGBMjumpsnormESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta1, theta2, lambda, mu, sigma, eps)
 }
 
 rGBMjumpskouESGcpp <- function(N, horizon, Delta, x0, theta1, theta2, lambda, eta_up, eta_down, p, eps) {
-    .Call('_ESGtoolkit_rGBMjumpskouESGcpp', PACKAGE = 'ESGtoolkit', N, horizon, Delta, x0, theta1, theta2, lambda, eta_up, eta_down, p, eps)
+    .Call('_esgtoolkit_rGBMjumpskouESGcpp', PACKAGE = 'esgtoolkit', N, horizon, Delta, x0, theta1, theta2, lambda, eta_up, eta_down, p, eps)
 }
 
 TAGcorecpp <- function(sim, sj_down, sj_up, n, p) {
-    .Call('_ESGtoolkit_TAGcorecpp', PACKAGE = 'ESGtoolkit', sim, sj_down, sj_up, n, p)
+    .Call('_esgtoolkit_TAGcorecpp', PACKAGE = 'esgtoolkit', sim, sj_down, sj_up, n, p)
 }
 

R/utils.R

@@ -0,0 +1,53 @@
+########## Tools
+# simply coumpounded euribor rate
+euriborfromprice <- function(t, T, ZC)
+{
+  # Brigo P. 7
+  tau <- T-t
+  return(as.vector((1/ZC - 1)/tau))
+}
+euriborfromprice <- compiler::cmpfun(euriborfromprice)
+
+
+# simply coumpounded zero-coupon price
+pricefromeuribor <- function(t, T, L)
+{
+  # Brigo P. 7
+  tau <- T-t
+  return(as.vector(1/(1 + L*tau)))
+}
+pricefromeuribor <- compiler::cmpfun(pricefromeuribor)
+
+# simply coumpounded forward rate
+fwdrate <- function(T_, S, ZC_T, ZC_S)
+{
+  # Brigo P. 12
+  tau <- S-T_
+  return((ZC_T/ZC_S - 1)/tau)
+}
+fwdrate <- compiler::cmpfun(fwdrate)
+
+# Swap curve bootstrap
+bootstrapswapcurve <- function(swaprate, maturity, typeres=c("rates", "prices"))
+{  
+  swaprate <- swaprate/100
+  accrual <- diff(maturity)
+  n <- length(swaprate)  
+  ZC <- numeric(n)  
+  ZC[1] <- 1/(1+maturity[1]*swaprate[1])
+  
+  for (i in seq_len(n)[-1])
+  {
+    ind <- seq_len(i-1)
+    ZC[i] <- (1 - swaprate[i]*sum(accrual[ind]*ZC[ind]))/(1+swaprate[i]*accrual[i-1])
+  }
+  
+  typeres <- match.arg(typeres)
+  
+  if (missing(typeres) || typeres == "prices")
+  {return(ts(ZC))}
+  
+  if (typeres == "rates")
+  {return((1-ZC)/(maturity*ZC))}  
+}
+bootstrapswapcurve <- compiler::cmpfun(bootstrapswapcurve)