創建對象作爲Couponbonds類

Question

使用termstrc包，我想創建我自己的美國債券價格數據集來預測期限結構。我一直在使用YieldCurve來做到這一點，並取得了一些成功，但想嘗試termstrc提供的其他方法。問題是termstrc只處理couponbonds類。我將如何使用最新數據創建couponbonds類對象？

Answer 1

?govbonds告訴你如何做到這一點：

If you use your own data set, make sure that the structure is 
identical to the provided data sets. Use the function ‘str()’ to 
explore the data set. 

例子：

data(govbonds) 
str(govbonds) 

# The following code may be used to generate an empty data set, 
# which can then be filled with bond data: 

ISIN <- vector() 
MATURITYDATE <- vector() 
ISSUEDATE <- vector() 
COUPONRATE <- vector() 
PRICE <- vector() 
ACCRUED <- vector() 

CFISIN <- vector() 
CF <- vector() 
DATE <- vector() 

CASHFLOWS <- list(CFISIN,CF,DATE) 
names(CASHFLOWS) <- c("ISIN","CF","DATE") 

TODAY <- vector() 

mycountry1 <- list(ISIN,MATURITYDATE,ISSUEDATE, 
        COUPONRATE,PRICE,ACCRUED,CASHFLOWS,TODAY) 
mycountry2 <- list(ISIN,MATURITYDATE,ISSUEDATE, 
        COUPONRATE,PRICE,ACCRUED,CASHFLOWS,TODAY) 

names(mycountry1) <- c("ISIN","MATURITYDATE","ISSUEDATE","COUPONRATE", 
         "PRICE","ACCRUED","CASHFLOWS","TODAY") 
names(mycountry2) <- c("ISIN","MATURITYDATE","ISSUEDATE","COUPONRATE", 
         "PRICE","ACCRUED","CASHFLOWS","TODAY") 

mybonds <- list(mycountry1,mycountry2) 

names(mybonds) <- c("mycountry1","mycountry2") 
class(mybonds) <- "couponbonds"