diff options
| -rw-r--r-- | R/build_portfolios.R | 15 |
1 files changed, 9 insertions, 6 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 3809d7d0..74709f14 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -33,13 +33,16 @@ if(length(args) >= 1){ calibration.date <- prevBusDay(workdate)
MarkitData <- getMarkitIRData(calibration.date)
-
-L1m <- buildMarkitYC(MarkitData, dt = 1/12)
-L2m <- buildMarkitYC(MarkitData, dt = 1/6)
-L3m <- buildMarkitYC(MarkitData)
-L6m <- buildMarkitYC(MarkitData, dt = 1/2)
-L12m <- buildMarkitYC(MarkitData, dt = 1)
+futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
+ sprintf("futures-%s.csv", calibration.date)), header=F)
setEvaluationDate(as.Date(MarkitData$effectiveasof))
+setCalendarContext("UnitedStates/GovernmentBond")
+L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
+L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
+L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
+
+L6m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/2)
+L12m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1)
bps <- 1e-4
global.params <- list()
|