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Check curve parameters too, gets partial matching as side benefit #205

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6 changes: 6 additions & 0 deletions ChangeLog
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Original file line number Diff line number Diff line change
@@ -1,3 +1,9 @@
2026-07-25 Dirk Eddelbuettel <edd@debian.org>

* R/bond.R (matchMethod): New validation function
(matchParams): Use new validation function
(FittedBondCurve.default): Validate curve parameters

2026-07-24 Maximilian Muecke <muecke.maximilian@gmail.com>

* R/arrays.R (plotOptionSurface): Remove obsolete global variable
Expand Down
148 changes: 77 additions & 71 deletions R/bond.R
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
## RQuantLib -- R interface to the QuantLib libraries
##
## Copyright (C) 2002 - 2014 Dirk Eddelbuettel <edd@debian.org>
## Copyright (C) 2002 - 2026 Dirk Eddelbuettel <edd@debian.org>
## Copyright (C) 2009 Khanh Nguyen <knguyen@cs.umb.edu>
## Copyright (C) 2010 - 2011 Dirk Eddelbuettel and Khanh Nguyen
##
Expand Down Expand Up @@ -118,7 +118,7 @@ FixedRateBond.default <- function(bond = list(),
# exCouponConvention
# exCouponEndOfMonth
bond <- matchParams(bond)

# check schedule params
if (is.null(schedule$effectiveDate)){
stop("schedule effective date undefined.")
Expand All @@ -133,7 +133,7 @@ FixedRateBond.default <- function(bond = list(),
if (is.null(schedule$dateGeneration)) schedule$dateGeneration <- 'Backward'
if (is.null(schedule$endOfMonth)) schedule$endOfMonth <- 0
schedule <- matchParams(schedule)

# check calc params
if (is.null(calc$dayCounter)) calc$dayCounter <- 'ActualActual.ISMA'
if (is.null(calc$compounding)) calc$compounding <- 'Compounded'
Expand All @@ -146,14 +146,14 @@ FixedRateBond.default <- function(bond = list(),
which.calc <- !c(is.null(discountCurve), is.na(yield), is.na(price))
if (sum(which.calc) != 1)
stop("one and only one of discountCurve, yield or price must be defined.")

if (!is.null(discountCurve)) {
val <- FixedRateWithRebuiltCurve(
bond, rates, schedule, calc, c(discountCurve$table$date), discountCurve$table$zeroRates)

} else if (!is.na(yield)) {
val <- FixedRateWithYield(bond, rates, schedule, calc, yield)

} else if (!is.na(price)) {
val <- FixedRateWithPrice(bond, rates, schedule, calc, price)
}
Expand Down Expand Up @@ -484,6 +484,7 @@ FittedBondCurve.default <- function(curveparams,
marketQuotes,
dateparams){
val <- 0
curveparams <- matchParams(curveparams)
dateparams <- matchParams(dateparams)
val <- fittedBondCurveEngine(curveparams, lengths, coupons, marketQuotes, dateparams)
class(val) <- c("DiscountCurve")
Expand Down Expand Up @@ -513,51 +514,52 @@ FittedBondCurve.default <- function(curveparams,
# matching functions

matchDayCounter <- function(daycounter = c("Actual360", "ActualFixed", "ActualActual",
"Business252", "OneDayCounter", "SimpleDayCounter", "Thirty360", "Actual365NoLeap",
"ActualActual.ISMA", "ActualActual.Bond", "ActualActual.ISDA", "ActualActual.Historical", "ActualActual.AFB", "ActualActual.Euro"))
{

if (!is.numeric(daycounter)) {
daycounter <- match.arg(daycounter)
daycounter <- switch(daycounter,
Actual360 = 0,
ActualFixed = 1,
ActualActual = 2,
Business252 = 3,
OneDayCounter = 4,
SimpleDayCounter = 5,
Thirty360 = 6,
Actual365NoLeap = 7,
ActualActual.ISMA = 8,
ActualActual.Bond = 9,
ActualActual.ISDA = 10,
ActualActual.Historical = 11,
ActualActual.AFB = 12,
ActualActual.Euro = 13)
}
daycounter
"Business252", "OneDayCounter", "SimpleDayCounter",
"Thirty360", "Actual365NoLeap", "ActualActual.ISMA",
"ActualActual.Bond", "ActualActual.ISDA",
"ActualActual.Historical", "ActualActual.AFB",
"ActualActual.Euro")) {
if (!is.numeric(daycounter)) {
daycounter <- match.arg(daycounter)
daycounter <- switch(daycounter,
Actual360 = 0,
ActualFixed = 1,
ActualActual = 2,
Business252 = 3,
OneDayCounter = 4,
SimpleDayCounter = 5,
Thirty360 = 6,
Actual365NoLeap = 7,
ActualActual.ISMA = 8,
ActualActual.Bond = 9,
ActualActual.ISDA = 10,
ActualActual.Historical = 11,
ActualActual.AFB = 12,
ActualActual.Euro = 13)
}
daycounter
}

matchBDC <- function(bdc = c("Following", "ModifiedFollowing",
"Preceding", "ModifiedPreceding",
"Unadjusted", "HalfMonthModifiedFollowing", "Nearest")) {
if (!is.numeric(bdc)){
bdc <- match.arg(bdc)
bdc <- switch(bdc,
Following = 0,
ModifiedFollowing = 1,
Preceding = 2,
ModifiedPreceding = 3,
Unadjusted = 4,
HalfMonthModifiedFollowing = 5,
Nearest = 6)
}
bdc
if (!is.numeric(bdc)){
bdc <- match.arg(bdc)
bdc <- switch(bdc,
Following = 0,
ModifiedFollowing = 1,
Preceding = 2,
ModifiedPreceding = 3,
Unadjusted = 4,
HalfMonthModifiedFollowing = 5,
Nearest = 6)
}
bdc
}

matchCompounding <- function(cp = c("Simple", "Compounded",
"Continuous", "SimpleThenCompounded")) {
if (!is.numeric(cp)){
if (!is.numeric(cp)){
cp <- match.arg(cp)
cp <- switch(cp,
Simple = 0,
Expand All @@ -584,50 +586,52 @@ matchFrequency <- function(freq = c("NoFrequency","Once", "Annual",
freq
}



matchFloatFrequency <- function(freq = c( "Annual",
"Semiannual", "EveryFourthMonth",
"Quarterly", "Bimonthly", "Monthly")) {
"Semiannual", "EveryFourthMonth",
"Quarterly", "Bimonthly", "Monthly")) {
if (!is.numeric(freq)){
freq <- match.arg(freq)
freq <- switch(freq,
Annual = 12,
Semiannual = 6, EveryFourthMonth = 4,
Quarterly = 3, Bimonthly = 2,
Monthly = 1)
freq <- match.arg(freq)
freq <- switch(freq,
Annual = 12,
Semiannual = 6, EveryFourthMonth = 4,
Quarterly = 3, Bimonthly = 2,
Monthly = 1)
}
freq
}

matchDateGen <- function(dg = c("Backward", "Forward", "Zero",
"ThirdWednesday", "Twentieth",
"TwentiethIMM", "OldCDS", "CDS")){
if (!is.numeric(dg)){
dg <- match.arg(dg)
dg <- switch(dg,
Backward = 0, Forward = 1,
Zero = 2, ThirdWednesday = 3,
Twentieth = 4, TwentiethIMM = 5, OldCDS=6, CDS=7)
}
dg
if (!is.numeric(dg)){
dg <- match.arg(dg)
dg <- switch(dg,
Backward = 0, Forward = 1,
Zero = 2, ThirdWednesday = 3,
Twentieth = 4, TwentiethIMM = 5, OldCDS=6, CDS=7)
}
dg
}


matchDurationType <- function(dt = c("Simple", "Macaulay", "Modified")) {
if (!is.numeric(dt)){
dt <- match.arg(dt)
dt <- switch(dt,
Simple = 0,
Macaulay = 1,
Modified = 2)
}
dt
if (!is.numeric(dt)){
dt <- match.arg(dt)
dt <- switch(dt,
Simple = 0,
Macaulay = 1,
Modified = 2)
}
dt
}

matchMethod <- function(m = c("ExponentialSplinesFitting",
"SimplePolynomialFitting",
"NelsonSiegelFitting")) {
m <- match.arg(m)
m
}

matchParams <- function(params) {

if (!is.null(params$dayCounter)) {
params$dayCounter <- matchDayCounter(params$dayCounter)
}
Expand All @@ -646,7 +650,6 @@ matchParams <- function(params) {
if (!is.null(params$floatFreq)) {
params$floatFreq <- matchFloatFrequency(params$floatFreq)
}

if (!is.null(params$businessDayConvention)) {
params$businessDayConvention <- matchBDC(params$businessDayConvention)
}
Expand All @@ -671,6 +674,9 @@ matchParams <- function(params) {
if (!is.null(params$durationType)) {
params$durationType <- matchDurationType(params$durationType)
}
if (!is.null(params$method)) {
params$method <- matchMethod(params$method)
}
params

}
Expand Down
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