It sounds like memoization could help here. Package examples for this: memoise and R.cache
Henrik On Oct 27, 2016 11:19, "Glenn Schultz" <glennmschu...@me.com> wrote: > All, > > Thank you, I have built the package such that it passes an object > TermStrutrure to those functions which require it as an input. The package > is here > > https://github.com/glennmschultz/BondLab <https://github.com/ > glennmschultz/BondLab> > > The question is largely motivated by the source MortgageScenario.R and > MortgageOAS.R. I have decided to default to Diebold Lee model in termstuc. > > In the case of MortgageScenario.R: > > Currently shift in the curve is driven by shift in the coupon curve and > the term structure model is refit. Naturally one could use the > coefficients from the original fit to shift the curve making the > analysis much faster and more intuitive than the current paradigm of > shifting the coupon curve. However, some portfolio prefer to be able to > use either or. So, I need to make either/or available. > > In the case of MortgageOAS.R > > This is currently a single factor CIR OAS model. It will remain for > teaching purposes as a single factor model is the gateway to multi-factor > models. Nevertheless, one may choose to batch job OAS across say 500 MBS. > In which case it makes little sense to replicate the paths 500 times. > Simulate the paths and pass them to the function. Obviously, I am looking > at parallel processing of a portfolio mortgage and asset backed > securities. Thank-you for the time that you have taken to consider and > reply to my question. This has been very helpful. > > Best, > Glenn > > > > > > > > On Oct 27, 2016, at 11:29 AM, William Dunlap <wdun...@tibco.com> wrote: > > > > If I were writing a package for factoring integers I might store a > vector of known primes in an environment in my package and have my > factoring functions append to the list when they find some more primes. > This works because there is only one set of of primes (given we stick with > ordinary integers). > > > > However the term structure (of interest rates, I assume) depends on the > date, the county, the type of bond, the method used to estimate it, etc. I > think it would be better to store it in some sort of object (function, > list, or environment) that the user would be expected to know about. The > user would be expected to pass that data into each function that need that > information (via the argument list, by using a function made in the > environment containing the term structure, etc.). > > > > > > Bill Dunlap > > TIBCO Software > > wdunlap tibco.com <http://tibco.com/> > > On Thu, Oct 27, 2016 at 7:55 AM, Jenny Bryan <je...@stat.ubc.ca <mailto: > je...@stat.ubc.ca>> wrote: > > Hi Glenn, > > > > It sounds like you should create an environment for your package. If you > store these objects in the global environment, they are exposed to the user > and, more importantly, user could modify or delete them. If you use an > environment specific to your package, you can be sure you are the only one > messing with them. > > > > You create it like so: > > > > .package_env <- new.env(parent = emptyenv()) > > > > And read from / write into it like so (very much like a list): > > > > .package_env$foo <- ... > > .package_env$foo > > > > or with assign() and get(): > > > > assign(foo, bar, envir = .package_env) > > get(foo, envir = .package_env) > > > > This blog post by Jeff Allen is a nice write-up of what you're trying to > do: > > > > http://trestletech.com/2013/04/package-wide-variablescache-in-r-package/ > <http://trestletech.com/2013/04/package-wide-variablescache-in-r-package/> > > > > -- Jenny > > > > > On Oct 27, 2016, at 7:05 AM, Glenn Schultz <glennmschu...@me.com > <mailto:glennmschu...@me.com>> wrote: > > > > > > All, > > > > > > I would like to have some inputs available to many functions. For > example, I have coefficient for a term structure fit which I would like to > make a available to total return functions. Thereby eliminating the need > to fit the same term structure over and over again. However, I still > reading and researching scoping. My understanding is that I could fit the > term structure and keep the coefficients in the global environment which > would then make those coefficients available to all functions requiring a > term structure object input. Am I correct in my understanding. What is > the downside of environment global, if any? > > > > > > Best Regards, > > > Glenn > > > ______________________________________________ > > > R-package-devel@r-project.org <mailto:R-package-devel@r-project.org> > mailing list > > > https://stat.ethz.ch/mailman/listinfo/r-package-devel < > https://stat.ethz.ch/mailman/listinfo/r-package-devel> > > > > ______________________________________________ > > R-package-devel@r-project.org <mailto:R-package-devel@r-project.org> > mailing list > > https://stat.ethz.ch/mailman/listinfo/r-package-devel < > https://stat.ethz.ch/mailman/listinfo/r-package-devel> > > > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-package-devel@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-package-devel > [[alternative HTML version deleted]] ______________________________________________ R-package-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-package-devel
