Question

我正在研究R代码，以实现各种美国国债的收益率曲线。以下是我的代码:(代码末尾的问题陈述）

library(quantmod)
t3mo=getSymbols("DGS3MO",src="FRED",auto.assign = FALSE)
t6mo=getSymbols("DGS6MO",src="FRED",auto.assign = FALSE)
t1yr=getSymbols("DGS1",src="FRED",auto.assign = FALSE)
t2yr=getSymbols("DGS2",src="FRED",auto.assign = FALSE)
t3yr=getSymbols("DGS3",src="FRED",auto.assign = FALSE)
t5yr=getSymbols("DGS5",src="FRED",auto.assign = FALSE)
t7yr=getSymbols("DGS7",src="FRED",auto.assign = FALSE)
t10yr=getSymbols("DGS10",src="FRED",auto.assign = FALSE)
t20yr=getSymbols("DGS20",src="FRED",auto.assign = FALSE)
t30yr=getSymbols("DGS30",src="FRED",auto.assign = FALSE)
# Combine the yield data into one object
treasury=merge(t3mo ,t6mo ,t1yr ,t2yr ,t3yr ,t5yr ,t7yr ,t10y) ,t20yr ,t30yr)
treasury[c(1:3,nrow(treasury)),]
# subset to include the yield from 1990-2013
extreme=subset(treasury, index(treasury)>="1990-01-01" & index(treasury)<="2013-12-31")
extreme=extreme[,c(1,8,10)]
extreme=na.omit(extreme)
# Identify examples of different shapes of the yield curve
extreme$sign.diff=extreme$DGS30-extreme$DGS3MO
extreme$inverted=ifelse(extreme$sign.diff==min(extreme$sign.diff),1,0)
# inverted: 30 year yield<3 month yield
inverted=subset(extreme,extreme$inverted==1)
extreme$upward=ifelse(extreme$sign.diff==max(extreme$sign.diff),1,0)
# upward normal: 30 year yield>3 month yield
upward=subset(extreme,extreme$upward==1)
extreme$abs.diff=abs(extreme$DGS30 - extreme$DGS3MO)
extreme$flat=ifelse(extreme$abs.diff==min(extreme$abs.diff),1,0)
# maybe the flat yield curve or the humpback yield curve
flat=subset(extreme,extreme$flat==1)
# compare 30-year yield to 10-year yield to find
# the flattest curves within the set of flat curves above
flat$abs.diff2=abs(flat$DGS30-flat$DGS10)
flat$flat2=ifelse(flat$abs.diff2==min(flat$abs.diff2),1,0)
flat$flat2==1
# WHY DOES THIS NOT WORK, GIVEN "flat" IS THE SAME AS THE VARIABLE "extreme"???**
flat2=subset(flat,flat$flat2==1)
class(flat); class(extreme)
is.recursive(extreme)
is.recursive(flat)

问题在于：extreme是一个xts和原子（不是递归的）。 flat是extreme的子集。 flat也是一个xts和atomic（不是递归的）。我可以使用extreme运算符访问flat和$中的列。但是，虽然我可以使用extreme运算符对$进行分组，但我无法使用flat进行分组，而R会返回错误消息：

flat $ flat2中的错误：$运算符对原子向量无效

我不知道为什么R说明这个错误。 flat$flat2==1独立工作，但在subset()功能中站不起作用？ R会做不同的治疗吗？

Answer 1

subset使用其参数的非标准评估。您在subset参数中重新指定了对象名称。与flat对象的区别在于flat是对象的名称和对象中列的名称，这就是导致问题的原因。< / p>

这是一个说明问题的简单示例：

R> x <- xts(cbind(x=1, y=2), as.Date("2016-09-27"))
R> subset(x, x$x == 1)
Error in x$x : $ operator is invalid for atomic vectors
R> subset(x, x == 1)
           x y
2016-09-27 1 2

此外，这里是一个更简洁的代码版本，可以避免subset一起使用：

library(quantmod)
e <- new.env()
symbols <- c("DGS3MO","DGS6MO","DGS1","DGS2","DGS3",
             "DGS5","DGS7","DGS10","DGS20","DGS30")
getSymbols(symbols, src="FRED", env=e)

# Combine the yield data into one object
treasury <- do.call(merge, as.list(e))[,symbols]

# subset to include the yield from 1990-2013
extreme <- na.omit(treasury["1990/2013"])

# Identify examples of different shapes of the yield curve
extreme$sign.diff <- extreme$DGS30 - extreme$DGS3MO
extreme$inverted <- extreme$sign.diff == min(extreme$sign.diff)

# inverted: 30 year yield<3 month yield
inverted <- extreme[extreme$inverted == 1,]
extreme$upward <- extreme$sign.diff == max(extreme$sign.diff)

# upward normal: 30 year yield>3 month yield
upward <- extreme[extreme$upward == 1,]
extreme$abs.diff<- abs(extreme$DGS30 - extreme$DGS3MO)
extreme$flat <- extreme$abs.diff == min(extreme$abs.diff)

# maybe the flat yield curve or the humpback yield curve
flat <- extreme[extreme$flat == 1,]

# compare 30-year yield to 10-year yield to find
# the flattest curves within the set of flat curves above
flat$abs.diff2 <- abs(flat$DGS30 - flat$DGS10)
flat$flat2 <- flat$abs.diff2 == min(flat$abs.diff2)
flat2 <- flat[flat$flat2 == 1,]

对于相同的xts，非递归对象，R中的不同处理

1 个答案: