Last updated on 2022-05-02 08:51:56 CEST.
| Flavor | Version | Tinstall | Tcheck | Ttotal | Status | Flags |
|---|---|---|---|---|---|---|
| r-devel-linux-x86_64-debian-clang | 0.1 | 2.76 | 33.75 | 36.51 | ERROR | |
| r-devel-linux-x86_64-debian-gcc | 0.1 | 2.04 | 25.34 | 27.38 | ERROR | |
| r-devel-linux-x86_64-fedora-clang | 0.1 | 42.97 | ERROR | |||
| r-devel-linux-x86_64-fedora-gcc | 0.1 | 41.69 | ERROR | |||
| r-devel-windows-x86_64 | 0.1 | 17.00 | 54.00 | 71.00 | ERROR | |
| r-patched-linux-x86_64 | 0.1 | 1.58 | 37.07 | 38.65 | NOTE | |
| r-release-linux-x86_64 | 0.1 | NOTE | ||||
| r-release-macos-arm64 | 0.1 | 25.00 | NOTE | |||
| r-release-macos-x86_64 | 0.1 | 27.00 | NOTE | |||
| r-release-windows-x86_64 | 0.1 | 5.00 | 53.00 | 58.00 | NOTE | |
| r-oldrel-macos-arm64 | 0.1 | 24.00 | NOTE | |||
| r-oldrel-macos-x86_64 | 0.1 | 29.00 | NOTE | |||
| r-oldrel-windows-ix86+x86_64 | 0.1 | 4.00 | 35.00 | 39.00 | NOTE |
Version: 0.1
Check: R code for possible problems
Result: NOTE
call_localoptim: no visible global function definition for 'optim'
call_localoptim: no visible global function definition for 'nlminb'
call_localoptim: no visible global function definition for
'txtProgressBar'
call_localoptim: no visible global function definition for
'setTxtProgressBar'
call_localoptim : <anonymous>: no visible global function definition
for 'optim'
call_localoptim : <anonymous>: no visible global function definition
for 'nlminb'
multiStartoptim: no visible global function definition for 'median'
Undefined global functions or variables:
median nlminb optim setTxtProgressBar txtProgressBar
Consider adding
importFrom("stats", "median", "nlminb", "optim")
importFrom("utils", "setTxtProgressBar", "txtProgressBar")
to your NAMESPACE file.
Flavors: r-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc, r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-devel-windows-x86_64, r-patched-linux-x86_64, r-release-linux-x86_64, r-release-macos-arm64, r-release-macos-x86_64, r-release-windows-x86_64, r-oldrel-macos-arm64, r-oldrel-macos-x86_64, r-oldrel-windows-ix86+x86_64
Version: 0.1
Check: examples
Result: ERROR
Running examples in 'mcGlobaloptim-Ex.R' failed
The error most likely occurred in:
> base::assign(".ptime", proc.time(), pos = "CheckExEnv")
> ### Name: multiStartoptim
> ### Title: Multistart global optimization using Monte Carlo and Quasi Monte
> ### Carlo simulation.
> ### Aliases: multiStartoptim
>
> ### ** Examples
>
> ### Example from optim :
> # "wild" function, global minimum at about -15.81515
> fw <- function (x)
+ {
+ 10*sin(0.3*x)*sin(1.3*x^2) + 0.00001*x^4 + 0.2*x+80
+ }
> plot(fw, -50, 50, n = 1000, main = "optim() minimising 'wild function'")
> (minfw <- multiStartoptim(objectivefn = fw, lower = -40,
+ upper = 40, method = "nlminb", nbtrials = 500,
+ typerunif = "sobol", verb = TRUE))
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$res
$res$par
[1] -15.81515
$res$objective
[1] 67.46773
$res$convergence
[1] 0
$res$iterations
[1] 5
$res$evaluations
function gradient
9 8
$res$message
[1] "both X-convergence and relative convergence (5)"
$iteration_no
[1] 1 2 3 7 8 15 73 131 466
$startingparams_sequence
[1] 29.4074334 9.4074334 -30.5925666 -0.5925666 -5.5925666 -15.5925666
[7] -17.4675666 -15.2800666 -14.8113166
$foundparams_sequence
[1] 28.303752 10.609181 -29.597542 -1.190591 -4.532845 -16.117845 -15.967215
[8] -15.661611 -15.815151
$objective_val_sequence
[1] 84.04052 81.84853 76.56611 76.39410 69.31956 67.52682 67.48679 67.47030
[9] 67.46773
> points(minfw$res$par, minfw$res$objective, pch = 8, lwd = 2, col = "red", cex = 2)
>
> ### Calibrating the Nelson-Siegel-Svensson model (from Gilli, Schumann (2010)) :
> # Nelson - Siegel - Svensson model
> NSS2 <- function(betaV, mats)
+ {
+ gam1 <- mats / betaV [5]
+ gam2 <- mats / betaV [6]
+ aux1 <- 1 - exp (- gam1)
+ aux2 <- 1 - exp (- gam2)
+ betaV[1] + betaV[2] * (aux1 / gam1) +
+ betaV[3] * (aux1 / gam1 + aux1 - 1) +
+ betaV[4] * (aux2 / gam2 + aux2 - 1)
+ }
>
> betaTRUE <- c(5, -2 ,5, -5 ,1 ,3)
> mats <- c(1 ,3 ,6 ,9 ,12 ,15 ,18 ,21 ,24 ,30 ,36 ,48 ,60 ,72 ,84 ,
+ 96,108 ,120)/ 12
> yM <- NSS2 (betaTRUE, mats)
> dataList <- list ( yM = yM, mats = mats, model = NSS2)
> plot (mats, yM, xlab = " maturities in years ", ylab =" yields in pct. ")
>
> # define objective function
> OF <- function (betaV, dataList) {
+ mats <- dataList$mats
+ yM <- dataList$yM
+ model <- dataList$model
+ y <- model(betaV, mats)
+ aux <- y - yM
+ crossprod(aux)
+ }
>
> settings <- list (min = c( 0, -15, -30, -30 ,0 ,3),
+ max = c (15, 30, 30, 30 ,3 ,6), d = 6)
> NSStest <- multiStartoptim(objectivefn = OF, data = dataList,
+ lower = settings$min,
+ upper = settings$max,
+ method = "nlminb",
+ nbtrials = 50, typerunif = "torus")
Error in nbpar != length(upper) || lower > upper :
'length = 6' in coercion to 'logical(1)'
Calls: multiStartoptim
Execution halted
Flavors: r-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc
Version: 0.1
Check: examples
Result: ERROR
Running examples in ‘mcGlobaloptim-Ex.R’ failed
The error most likely occurred in:
> ### Name: multiStartoptim
> ### Title: Multistart global optimization using Monte Carlo and Quasi Monte
> ### Carlo simulation.
> ### Aliases: multiStartoptim
>
> ### ** Examples
>
> ### Example from optim :
> # "wild" function, global minimum at about -15.81515
> fw <- function (x)
+ {
+ 10*sin(0.3*x)*sin(1.3*x^2) + 0.00001*x^4 + 0.2*x+80
+ }
> plot(fw, -50, 50, n = 1000, main = "optim() minimising 'wild function'")
> (minfw <- multiStartoptim(objectivefn = fw, lower = -40,
+ upper = 40, method = "nlminb", nbtrials = 500,
+ typerunif = "sobol", verb = TRUE))
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$res
$res$par
[1] -15.81515
$res$objective
[1] 67.46773
$res$convergence
[1] 0
$res$iterations
[1] 5
$res$evaluations
function gradient
9 8
$res$message
[1] "both X-convergence and relative convergence (5)"
$iteration_no
[1] 1 2 3 7 8 15 73 131 466
$startingparams_sequence
[1] 29.4074334 9.4074334 -30.5925666 -0.5925666 -5.5925666 -15.5925666
[7] -17.4675666 -15.2800666 -14.8113166
$foundparams_sequence
[1] 28.303752 10.609181 -29.597542 -1.190591 -4.532845 -16.117845 -15.967215
[8] -15.661611 -15.815151
$objective_val_sequence
[1] 84.04052 81.84853 76.56611 76.39410 69.31956 67.52682 67.48679 67.47030
[9] 67.46773
> points(minfw$res$par, minfw$res$objective, pch = 8, lwd = 2, col = "red", cex = 2)
>
> ### Calibrating the Nelson-Siegel-Svensson model (from Gilli, Schumann (2010)) :
> # Nelson - Siegel - Svensson model
> NSS2 <- function(betaV, mats)
+ {
+ gam1 <- mats / betaV [5]
+ gam2 <- mats / betaV [6]
+ aux1 <- 1 - exp (- gam1)
+ aux2 <- 1 - exp (- gam2)
+ betaV[1] + betaV[2] * (aux1 / gam1) +
+ betaV[3] * (aux1 / gam1 + aux1 - 1) +
+ betaV[4] * (aux2 / gam2 + aux2 - 1)
+ }
>
> betaTRUE <- c(5, -2 ,5, -5 ,1 ,3)
> mats <- c(1 ,3 ,6 ,9 ,12 ,15 ,18 ,21 ,24 ,30 ,36 ,48 ,60 ,72 ,84 ,
+ 96,108 ,120)/ 12
> yM <- NSS2 (betaTRUE, mats)
> dataList <- list ( yM = yM, mats = mats, model = NSS2)
> plot (mats, yM, xlab = " maturities in years ", ylab =" yields in pct. ")
>
> # define objective function
> OF <- function (betaV, dataList) {
+ mats <- dataList$mats
+ yM <- dataList$yM
+ model <- dataList$model
+ y <- model(betaV, mats)
+ aux <- y - yM
+ crossprod(aux)
+ }
>
> settings <- list (min = c( 0, -15, -30, -30 ,0 ,3),
+ max = c (15, 30, 30, 30 ,3 ,6), d = 6)
> NSStest <- multiStartoptim(objectivefn = OF, data = dataList,
+ lower = settings$min,
+ upper = settings$max,
+ method = "nlminb",
+ nbtrials = 50, typerunif = "torus")
Error in nbpar != length(upper) || lower > upper :
'length = 6' in coercion to 'logical(1)'
Calls: multiStartoptim
Execution halted
Flavors: r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-devel-windows-x86_64