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thierrymoudikithierrymoudiki
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remove reference to (for now)
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4 files changed

+283
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‎R/ycClassycInterp.R‎

Lines changed: 134 additions & 134 deletions
Original file line numberDiff line numberDiff line change
@@ -467,144 +467,144 @@ fitted<- function(.Object)
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return(ts(getFittedvalues(.Object), deltat=t[2]-t[1]))
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}
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470-
ycsummary <- function(.Object)
471-
{
472-
y <- list(obs = .Object@observedvalues, matsin = .Object@matsin,
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coeff = .Object@coefficients, fitted =.Object@fittedvalues,
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matsout = .Object@matsout, resid = .Object@residuals,
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typeres = .Object@typeres)
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if(max(y$obs) < 0.2 && (y$typeres != "rates"))
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{
479-
y$fitted <- euriborfromprice(0, y$matsout, y$fitted)
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}
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if(max(y$obs) > 0.2 && (y$typeres != "prices"))
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{
484-
y$fitted <- pricefromeuribor(0, y$matsout, y$fitted)
485-
}
486-
487-
n <- length(y$obs)
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if (.Object@method == "SW")
489-
{p <- length(y$coeff) - 1}
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else {p <- length(y$coeff)}
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492-
cat("Residuals:", "\n")
493-
print(summary(y$resid))
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cat("\n")
495-
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cat("Coefficients:", "\n")
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cat(y$coeff, "\n")
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cat("\n")
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# Total sum of squares
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yobs <- y$obs
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ybar <- mean(y$obs)
503-
typeres <- y$typeres
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u <- y$matsin
505-
t <- y$matsout
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indicemat <- pmatch(u, t)
507-
508-
ychapeau <- y$fitted[indicemat]
509-
510-
resid <- y$resid
511-
512-
ESS <- crossprod(rep.int(ybar, n) - ychapeau)[1,1]
513-
SSR <- crossprod(yobs - ychapeau)[1,1]
514-
SST <- ESS + SSR
515-
516-
cat("Total sum of squares:", "\n")
517-
cat(SST, "\n")
518-
cat("with", n - 1,"degrees of freedom","\n")
519-
cat("\n")
520-
521-
cat("Explained sum of squares:", "\n")
522-
cat(ESS, "\n")
523-
cat("with", p - 1,"degrees of freedom","\n")
524-
cat("\n")
525-
526-
cat("Residual sum of squares:", "\n")
527-
cat(SSR, "\n")
528-
cat("with", n - p,"degrees of freedom","\n")
529-
cat("\n")
530-
531-
Rsquared <- 1 - SSR/SST
532-
cat("Multiple R-squared ", "*", "Adjusted R-squared", "\n")
533-
cat(Rsquared, "*", 1 - ((n-1)/(n-p))*(1 - Rsquared), "\n")
534-
cat("\n")
535-
536-
if (try(shapiro.test(y$resid)$p.value, TRUE) >= 0.05 || n >= 30)
537-
{
538-
Fstat <- ((n-p)/(p-1))*(Rsquared/(1 - Rsquared))
539-
suppressWarnings(cat("F-statistic:", Fstat, "on",
540-
n - p,"and", p-1, "degrees of freedom, p-value:", pf(Fstat, n-p, p-1), "\n"))
541-
}
542-
}
543-
544-
ycplot <- function(.Object){
545-
546-
indicatrice <- pmatch(.Object@matsin, .Object@matsout)
547-
548-
par(mfrow=c(2,2))
549-
550-
ord <- .Object@fittedvalues
551-
x <- .Object@observedvalues
552-
553-
if(.Object@typeres == "rates")
554-
{
555-
if (max(.Object@observedvalues) > 0.2)
556-
{x <- euriborfromprice(0, .Object@matsin, .Object@observedvalues)}
557-
558-
plot(x = .Object@matsout, y = ord,
559-
main = "(Red) Observed values and (Black) Fitted values", xlab = "Maturity",
560-
ylab = "Yield to maturity")
561-
points(x = .Object@matsin, y = x, col="red", pch=3)
562-
563-
plot(x = x, y = ord[indicatrice],
564-
main = "Observed vs Fitted values", xlab="observed values", ylab="fitted values")
565-
abline(0, 1, col="red")
566-
}
567-
else
568-
{
569-
if (max(.Object@observedvalues) < 0.2)
570-
{x <- pricefromeuribor(0, .Object@matsin, .Object@observedvalues)}
571-
572-
plot(x = .Object@matsout, y = ord,
573-
main = "(Red) Observed values and (Black) Fitted values", xlab = "Maturity",
574-
ylab = "Zero-coupon price")
575-
points(x = .Object@matsin, y = x, col="red", pch=3)
576-
577-
plot(x = x, y = ord[indicatrice],
578-
main = "Observed vs Fitted values", xlab="observed values", ylab="fitted values")
579-
abline(0, 1, col="red")
580-
}
581-
582-
hist(.Object@residuals, main = paste("Histogram and density", "\n","of residuals"),
583-
xlab = "residuals")
584-
lines(density(.Object@residuals), col="red")
585-
586-
if(max(.Object@matsout) <= max(.Object@matsin))
587-
{
588-
qqnorm(.Object@residuals, main = "Residuals' Normal Q-Q plot")
589-
qqline(.Object@residuals, col="red")
590-
}
591-
else
592-
{
593-
plot(forwardrates(.Object), main = "Extrapolated forward rates")
594-
}
595-
}
596-
470+
# ycsummary <- function(.Object)
471+
# {
472+
# y <- list(obs = .Object@observedvalues, matsin = .Object@matsin,
473+
# coeff = .Object@coefficients, fitted =.Object@fittedvalues,
474+
# matsout = .Object@matsout, resid = .Object@residuals,
475+
# typeres = .Object@typeres)
476+
#
477+
# if(max(y$obs) < 0.2 && (y$typeres != "rates"))
478+
# {
479+
# y$fitted <- euriborfromprice(0, y$matsout, y$fitted)
480+
# }
481+
#
482+
# if(max(y$obs) > 0.2 && (y$typeres != "prices"))
483+
# {
484+
# y$fitted <- pricefromeuribor(0, y$matsout, y$fitted)
485+
# }
486+
#
487+
# n <- length(y$obs)
488+
# if (.Object@method == "SW")
489+
# {p <- length(y$coeff) - 1}
490+
# else {p <- length(y$coeff)}
491+
#
492+
# cat("Residuals:", "\n")
493+
# print(summary(y$resid))
494+
# cat("\n")
495+
#
496+
# cat("Coefficients:", "\n")
497+
# cat(y$coeff, "\n")
498+
# cat("\n")
499+
#
500+
# # Total sum of squares
501+
# yobs <- y$obs
502+
# ybar <- mean(y$obs)
503+
# typeres <- y$typeres
504+
# u <- y$matsin
505+
# t <- y$matsout
506+
# indicemat <- pmatch(u, t)
507+
#
508+
# ychapeau <- y$fitted[indicemat]
509+
#
510+
# resid <- y$resid
511+
#
512+
# ESS <- crossprod(rep.int(ybar, n) - ychapeau)[1,1]
513+
# SSR <- crossprod(yobs - ychapeau)[1,1]
514+
# SST <- ESS + SSR
515+
#
516+
# cat("Total sum of squares:", "\n")
517+
# cat(SST, "\n")
518+
# cat("with", n - 1,"degrees of freedom","\n")
519+
# cat("\n")
520+
#
521+
# cat("Explained sum of squares:", "\n")
522+
# cat(ESS, "\n")
523+
# cat("with", p - 1,"degrees of freedom","\n")
524+
# cat("\n")
525+
#
526+
# cat("Residual sum of squares:", "\n")
527+
# cat(SSR, "\n")
528+
# cat("with", n - p,"degrees of freedom","\n")
529+
# cat("\n")
530+
#
531+
# Rsquared <- 1 - SSR/SST
532+
# cat("Multiple R-squared ", "*", "Adjusted R-squared", "\n")
533+
# cat(Rsquared, "*", 1 - ((n-1)/(n-p))*(1 - Rsquared), "\n")
534+
# cat("\n")
535+
#
536+
# if (try(shapiro.test(y$resid)$p.value, TRUE) >= 0.05 || n >= 30)
537+
# {
538+
# Fstat <- ((n-p)/(p-1))*(Rsquared/(1 - Rsquared))
539+
# suppressWarnings(cat("F-statistic:", Fstat, "on",
540+
# n - p,"and", p-1, "degrees of freedom, p-value:", pf(Fstat, n-p, p-1), "\n"))
541+
# }
542+
# }
543+
544+
# ycplot <- function(.Object){
545+
#
546+
# indicatrice <- pmatch(.Object@matsin, .Object@matsout)
547+
#
548+
# par(mfrow=c(2,2))
549+
#
550+
# ord <- .Object@fittedvalues
551+
# x <- .Object@observedvalues
552+
#
553+
# if(.Object@typeres == "rates")
554+
# {
555+
# if (max(.Object@observedvalues) > 0.2)
556+
# {x <- euriborfromprice(0, .Object@matsin, .Object@observedvalues)}
557+
#
558+
# plot(x = .Object@matsout, y = ord,
559+
# main = "(Red) Observed values and (Black) Fitted values", xlab = "Maturity",
560+
# ylab = "Yield to maturity")
561+
# points(x = .Object@matsin, y = x, col="red", pch=3)
562+
#
563+
# plot(x = x, y = ord[indicatrice],
564+
# main = "Observed vs Fitted values", xlab="observed values", ylab="fitted values")
565+
# abline(0, 1, col="red")
566+
# }
567+
# else
568+
# {
569+
# if (max(.Object@observedvalues) < 0.2)
570+
# {x <- pricefromeuribor(0, .Object@matsin, .Object@observedvalues)}
571+
#
572+
# plot(x = .Object@matsout, y = ord,
573+
# main = "(Red) Observed values and (Black) Fitted values", xlab = "Maturity",
574+
# ylab = "Zero-coupon price")
575+
# points(x = .Object@matsin, y = x, col="red", pch=3)
576+
#
577+
# plot(x = x, y = ord[indicatrice],
578+
# main = "Observed vs Fitted values", xlab="observed values", ylab="fitted values")
579+
# abline(0, 1, col="red")
580+
# }
581+
#
582+
# hist(.Object@residuals, main = paste("Histogram and density", "\n","of residuals"),
583+
# xlab = "residuals")
584+
# lines(density(.Object@residuals), col="red")
585+
#
586+
# if(max(.Object@matsout) <= max(.Object@matsin))
587+
# {
588+
# qqnorm(.Object@residuals, main = "Residuals' Normal Q-Q plot")
589+
# qqline(.Object@residuals, col="red")
590+
# }
591+
# else
592+
# {
593+
# plot(forwardrates(.Object), main = "Extrapolated forward rates")
594+
# }
595+
# }
596+
#
597597

598598
forwardrates <- function(.Object)
599599
{
600600
t <- .Object@matsout
601601
return(ts(getFwdrates(.Object), deltat=t[2]-t[1]))
602602
}
603603

604-
tolist <- function(.Object)
605-
{
606-
y <- list(matsin = .Object@matsin, obs = .Object@observedvalues, method = .Object@method, typeres = .Object@typeres,
607-
coeff = .Object@coefficients, matsout = .Object@matsout, fitted =.Object@fittedvalues, fwdrates = .Object@fwdrates,
608-
resid = .Object@residuals, UFR = .Object@UFR, T_UFR = .Object@T_UFR, extra = .Object@extrapvalues)
609-
return(y)
610-
}
604+
# tolist <- function(.Object)
605+
# {
606+
# y <- list(matsin = .Object@matsin, obs = .Object@observedvalues, method = .Object@method, typeres = .Object@typeres,
607+
# coeff = .Object@coefficients, matsout = .Object@matsout, fitted =.Object@fittedvalues, fwdrates = .Object@fwdrates,
608+
# resid = .Object@residuals, UFR = .Object@UFR, T_UFR = .Object@T_UFR, extra = .Object@extrapvalues)
609+
# return(y)
610+
# }

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