resloved errors/warnings/notes

NAMESPACE

@@ -176,6 +176,7 @@ export(ZeroCurve)
 export(ZeroHazardRate)
 export(as_DiscountFactor)
 export(as_InterestRate)
+export(as_SurvivalProbabilities)
 export(as_ZeroHazardRate)
 export(build_zero_curve)
 export(interpolate)

R/cedit-ops.R

@@ -81,7 +81,7 @@ c.ZeroHazardRate <- function (..., recursive = FALSE) {
 
 #' @export
 `[.ZeroHazardRate` <- function (x, i, j, ..., drop = TRUE) {
-  new_ZeroHazardRate(x$value[i], x$compounding[i], x$day_basis[i], spec = x$specs[i])
+  new_ZeroHazardRate(x$value[i], x$compounding[i], x$day_basis[i], specs = x$specs[i])
 }
 
 
@@ -265,7 +265,7 @@ c.SurvivalProbabilities <- function (..., recursive = FALSE) {
 
 #' @export
 `[.SurvivalProbabilities` <- function (x, i, j, ..., drop = TRUE) {
-  new_SurvivalProbabilities(x$value[i], x$start_date[i], x$end_date[i], spec = x$specs[i])
+  new_SurvivalProbabilities(x$value[i], x$start_date[i], x$end_date[i], specs = x$specs[i])
 }
 
 #' @export

R/credit-class.R

@@ -1,7 +1,7 @@
 #' Build a `CDSSpec`
 #'
 #' This class will enable you to specify CDS curves. It is used by
-#' [SurvivalProbabilitiesCurve()] and [ZeroHazardCurve()].
+#' [SurvivalProbabilities()] and [ZeroHazardRate()].
 #'
 #' @param rank Seniority of the reference debt. Must be one of the following
 #'   options: "SNR" for Senior, "SubTier3" for Subordinate Tier 3,
@@ -188,7 +188,7 @@ validate_CDSCurve <- function(x) {
 #' typically be bootstrapped from a [CDSCurve()].
 #'
 #' @inheritParams CDSCurve
-#' @param survival_probabilities a vector of survival probabilities corresponding to each
+#' @param values a vector of survival probabilities corresponding to each
 #'   time step in `tenors`.
 #' @param d1 a `Date` vector containing the as of date
 #' @param d2 a `Date` vector containing the date to which the survival probability
@@ -233,19 +233,22 @@ validate_SurvivalProbabilities <- function(x) {
 #' Builds a `ZeroHazardRate`
 #'
 #' This will allow you to create a harzard rate curve. This will typically be
-#' bootstrapped or implied from a [CDSCurve()] or [SurvivalProbabilitiesCurve()].
+#' bootstrapped or implied from a [CDSCurve()] or [SurvivalProbabilities()].
 #'
 #' @inheritParams CDSCurve
-#' @param hazard_rates a vector of hazard rates corresponding to each time step
 #' in `tenors`
-#' @param value a numeric vector containing zero hazard rate values (as decimals).
+#' @param values a numeric vector containing zero hazard rate values (as decimals).
 #' @param compounding a numeric vector representing the [compounding] frequency.
 #' @param day_basis a character vector representing the day basis associated
 #'   with the interest rate and hazard rate(see [fmdates::year_frac()])
 #' @param specs CDS curve specifications that inherits from [CDSSpec()]
 #' @return returns an object of type `hazard_rates`
 #' @examples
-#'
+#' curve_specs <- CDSMarkitSpec(
+#'   rating = "AAA",
+#'   region = "Japan",
+#'   sector = "Utilities"
+#' )
 #' ZeroHazardRate(values = c(0.04, 0.05), compounding = c(2, 4),
 #' day_basis =  'act/365', specs = curve_specs )
 #'
@@ -306,8 +309,6 @@ validate_ZeroHazardRate <- function(x) {
 #' @param specs CDS curve specifications that inherits from [CDSSpec()]
 #'
 #' @return a `CreditCurve` object
-#'
-#' @examples
 #' curve_specs <- CDSMarkitSpec(rating = "AAA", region = "Japan", sector = "Utilities")
 #' zero_curve <- build_zero_curve()
 #' ref_date <- zero_curve$reference_date
@@ -318,6 +319,9 @@ validate_ZeroHazardRate <- function(x) {
 #' sp <- as_SurvivalProbabilities(x = cds_curve, zero_curve = zero_curve)
 #' CreditCurve(survival_probabilities = sp, reference_date =ref_date,
 #'  interpolation =  CubicInterpolation(), specs = curve_specs)
+#'
+#'
+#'
 #' @export
 #' @seealso [Interpolation]
 CreditCurve <- function(survival_probabilities, reference_date, interpolation,
@@ -576,6 +580,11 @@ format.ZeroHazardRate <- function(x, ...) {
 print.ZeroHazardRate <- function(x, ...) {cat(format(x), "\n"); invisible(x)}
 
 
+#' Inherits from CreditCurve
+#'
+#' Checks whether object inherits from `CreditCurve` class
+#' @param x an R Object
+#' @return `TRUE` if `x` inherits from the `CreditCurve` class; otherwise `FALSE`
 #' @export
 is.CreditCurve <- function(x) {
   inherits(x, "CreditCurve")
@@ -603,19 +612,6 @@ print.CreditCurve <- function(x, ...) {
 #' @return a `tibble` with two columns named `Years` and `Zero Hazard Rates`.
 #' @seealso [tibble::tibble()]
 #' @importFrom tibble as_tibble
-#' @examples
-#' curve_specs <- CDSMarkitSpec(rating = "AAA", region = "Japan", sector = "Utilities")
-#' zero_curve <- build_zero_curve()
-#' ref_date <- zero_curve$reference_date
-#' specs <- CDSMarkitSpec(rating = "AAA", region = "Japan", sector = "Utilities")
-#' cds_curve <- CDSCurve(reference_date = ref_date,
-#' tenors = c(1, 3, 5, 7), spreads = c(0.0050, 0.0070, 0.0090, 0.0110), lgd = .6,
-#' premium_frequency = 4, specs = curve_specs)
-#' sp <- as_SurvivalProbabilities(x = cds_curve, zero_curve = zero_curve)
-#' cc <- CreditCurve(survival_probabilities = sp,
-#'  reference_date =ref_date, interpolation =  LinearInterpolation(),
-#'  specs = curve_specs)
-#'  as_tibble(cc)
 #' @export
 as_tibble.CreditCurve <- function(x, ...) {
   tibble::tibble(
@@ -648,7 +644,7 @@ interpolate.CreditCurve <- function(x, at, ...) {
   x$interpolator(at)
 }
 
-#' @rdname interpolate_zeros *edit interpolate zero
+#' @rdname interpolate_zeros
 #' @export
 interpolate_zeros.CreditCurve <- function(x, at, compounding = NULL, day_basis = NULL, ...) {
 

R/credit-methods.R

@@ -1,10 +1,18 @@
+#' Coerce to InterestRate
+#'
+#' You can coerce objects to the `SurvivalProbabilities` class using this method.
+#'
+#' @param x object to coerce
+#' @param ... other parameters passed to methods
+#' @return an `SurvivalProbabilities` object
+#' @export
 as_SurvivalProbabilities <- function(x, ...) UseMethod("as_SurvivalProbabilities")
 
 #' Bootstraps Survival Probabilitie from a CDS curve
 #' Using \href{https://www.rdocumentation.org/packages/credule/versions/0.1.3}{credule package.}
 #' The output of bootstrapping is a vector of cumulative survival probabilities.
 #'
-#' @param cds_curve An object of type `CDSCurve`
+#' @param x An object of type `CDSCurve`
 #' @param zero_curve An object of type `ZeroCurve`
 #' @param num_timesteps_pa It represents the number of timesteps used to perform the numerical integral
 #'  required while computing the default leg value. It is shown that a monthly discretisation
@@ -13,24 +21,14 @@ as_SurvivalProbabilities <- function(x, ...) UseMethod("as_SurvivalProbabilities
 #' @param accrued_premium If set to TRUE, the accrued premium will be taken into account in the calculation of the premium leg value.
 #'
 #' @return An object of type `SurvivalProbabilitiesCurve`
-#' @examples
-#'
-#'
-#'zero_curve <- build_zero_curve()
-#'specs <- CDSMarkitSpec(rating = "AAA", region = "Japan", sector = "Utilities")
-#'cds_curve <- CDSCurve(
-#'  reference_date = zero_curve$reference_date,
-#'    tenors = c(1, 3, 5, 7), spreads = c(0.0050, 0.0070, 0.0090, 0.0110), lgd = .6,
-#'    premium_frequency = 4, specs = curve_specs)
-#'as_SurvivalProbabilities(x = cds_curve, zero_curve = zero_curve)
-#'
-#'
+
 as_SurvivalProbabilities.CDSCurve <- function(x,
-                                        zero_curve,
-                                        num_timesteps_pa = 12,
-                                        accrued_premium = TRUE) {
-  if (cds_curve$reference_date != zero_curve$reference_date) {
-    stop("The reference dates for CDS Curve and the Zero Curve are different", call. = FALSE)
+  zero_curve,
+  num_timesteps_pa = 12,
+  accrued_premium = TRUE) {
+  if (x$reference_date != zero_curve$reference_date) {
+    stop("The reference dates for CDS Curve and the Zero Curve are different",
+      call. = FALSE)
   }
   if (!is.ZeroCurve(zero_curve)) {
     stop("zero_curve must be an object of type ZeroCurve", call. = FALSE)
@@ -39,30 +37,35 @@ as_SurvivalProbabilities.CDSCurve <- function(x,
   sp_output <- credule::bootstrapCDS(
     yieldcurveTenor = zero_curve$pillar_times,
     yieldcurveRate = zero_curve$pillar_zeros,
-    cdsTenors = cds_curve$tenors,
-    cdsSpreads = cds_curve$spread,
-    recoveryRate = 1 - cds_curve$lgd,
-    numberPremiumPerYear = cds_curve$premium_frequency,
+    cdsTenors = x$tenors,
+    cdsSpreads = x$spread,
+    recoveryRate = 1 - x$lgd,
+    numberPremiumPerYear = x$premium_frequency,
     numberDefaultIntervalPerYear = num_timesteps_pa,
     accruedPremium = accrued_premium
   )
 
 
   SurvivalProbabilities(
-    d1 = cds_curve$reference_date,
-    d2 = cds_curve$reference_date + 365 * cds_curve$tenors,
+    d1 = x$reference_date,
+    d2 = x$reference_date + 365 * x$tenors,
     values = sp_output$survprob,
-    specs = cds_curve$specs
+    specs = x$specs
   )
 }
 
 
 #' @inheritParams SurvivalProbabilities
 #' @rdname as_SurvivalProbabilities
 #' @examples
+#' curve_specs <- CDSMarkitSpec(
+#'   rating = "AAA",
+#'   region = "Japan",
+#'   sector = "Utilities"
+#' )
 #' HR <- ZeroHazardRate(values = c(0.04, 0.05), compounding = c(2, 4),
-#' day_basis = 'act/365', specs = specs)
-#' as_SurvivalProbabilities(HR, ymd(20160202), ymd(20160302))
+#' day_basis = 'act/365', specs = curve_specs)
+#' as_SurvivalProbabilities(HR, lubridate::ymd(20160202), lubridate::ymd(20160302))
 #' @export
 as_SurvivalProbabilities.ZeroHazardRate <- function(x, d1, d2, ...) {
   assertthat::assert_that(
@@ -100,7 +103,7 @@ as_SurvivalProbabilities.ZeroHazardRate <- function(x, d1, d2, ...) {
 #' @return an `ZeroHazardRate` object
 #' @examples
 #' library("lubridate")
-#' as_InterestRate(SurvivalProbabilities(0.95, ymd(20130101), ymd(20140101), CDSSpec("Empty")),
+#' as_ZeroHazardRate(SurvivalProbabilities(0.95, ymd(20130101), ymd(20140101), CDSSpec("Empty")),
 #'   compounding = 2, day_basis = "act/365")
 #' @export
 as_ZeroHazardRate <- function(x, ...) UseMethod("as_ZeroHazardRate")

R/generic-methods.R

@@ -95,6 +95,7 @@ interpolate <- function(x, ...) UseMethod("interpolate")
 #' @param day_basis a valid [day basis][fmdates::is_valid_day_basis()] string.
 #'   Defaults to `NULL` which uses the curve's native day basis.
 #' @param ... further arguments passed to specific methods
+#'
 #' @return an [InterestRate][InterestRate()] object of interpolated zero rates
 #'   with the `compounnding` and `day_basis` requested.
 #' @export