diff options
| -rw-r--r-- | R/yieldcurve.R | 15 |
1 files changed, 8 insertions, 7 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R index e9466240..8e01797b 100644 --- a/R/yieldcurve.R +++ b/R/yieldcurve.R @@ -1,3 +1,4 @@ +require(RQuantLib)
getMarkitIRData <- function(date=Sys.Date()) {
## downloads the latest available interest rates data from Markit
## before date and returns the parsed file into a list
@@ -66,13 +67,13 @@ buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25){ short.term[[paste0("fut",i)]] <- futurequotes[i]
immdate <- RQuantLib::nextIMMDate(immdate)
}
- }
- #advance last futures date by 3 months
- lastfuturedate <- basic.advance(immdate, 3, "month")
- ## find out the 2 year swap rate maturity
- s2ymaturity <- basic.advance(settledate, 2, "year")
- if(s2ymaturity == lastfuturedate){
- short.term[["fut8"]] <- NULL
+ #advance last futures date by 3 months
+ lastfuturedate <- basic.advance(immdate, 3, "month")
+ ## find out the 2 year swap rate maturity
+ s2ymaturity <- basic.advance(settledate, 2, "year")
+ if(s2ymaturity == lastfuturedate){
+ short.term[["fut8"]] <- NULL
+ }
}
tsQuotes <- c(short.term,
list(
|