diff options
| -rw-r--r-- | R/tests/test_yieldcurve.R | 108 |
1 files changed, 96 insertions, 12 deletions
diff --git a/R/tests/test_yieldcurve.R b/R/tests/test_yieldcurve.R index 6b1930eb..97a4e95c 100644 --- a/R/tests/test_yieldcurve.R +++ b/R/tests/test_yieldcurve.R @@ -1,15 +1,99 @@ -source("yieldcurve.R") -source("cds_utils.R") -root.dir <- "/home/share/CorpCDOs/" +library(RQuantLib) -dates <- seq(as.Date("2013-05-01"), as.Date("2014-05-01"), by=1) -for(i in 1:length(dates)){ - day <- dates[i] - calibration.date <- addBusDay(day, -1) - print(calibration.date) - print(day) - if(isBusinessDay(calendar="UnitedStates", day)){ - exportYC(calibration.date) - test <- DiscountCurve(c(YC$params, list(dt=0.25)), YC$tsQuotes, 1, YC$legparams) +data.dir <- "." + +getMarkitIRData <- function(date=Sys.Date(), currency="USD") { + ## downloads the latest available interest rates data from Markit + ## before date and returns the parsed file into a list + require(xml2) + i <- 0 + while( TRUE ) { + lastdate <- format(date-i, "%Y%m%d") + filename <- paste("InterestRates", currency, lastdate, sep="_") + filename.ext <- paste0(filename, ".xml") + if( filename.ext %in% dir(file.path(data.dir, "Yield Curves"))){ + return( as_list(read_xml(file.path(data.dir, "Yield Curves", filename.ext))) ) + }else{ + temp <- tempfile(tmpdir = file.path(data.dir, "Yield Curves")) + download.file(paste0("http://www.markit.com/news/", filename, ".zip"), temp, quiet=T) + con <- file(temp, "r") + firstline <- readLines(con, 1, warn=FALSE) + ## Markit returns a plain text file if there is no data. + if(firstline == "Interest Rates not available, please check date entered") { + i <- i + 1 + close(con) + unlink(temp) + } else { + cat("downloaded data for:", lastdate,"\n") + close(con) + ## we unzip it + unzip(temp, exdir = file.path(data.dir, "Yield Curves")) + unlink(temp) + return( as_list(read_xml(file.path(data.dir, "Yield Curves", filename.ext))) ) + } + } + } + return( as_list(read_xml(paste(filename,".xml", sep=""))) ) +} + +buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR")){ + deposits <- list() + swaps <- list() + keys <- unlist(lapply(MarkitData$deposits[5:length(MarkitData$deposits)], + function(x)paste0("d",tolower(x$tenor))), use.names=FALSE) + for(i in seq_along(keys)){ + deposits[[keys[i]]] <- as.numeric(MarkitData$deposits[i+4]$curvepoint$parrate) + } + if(length(MarkitData$swaps)>8){## swaps quotes probably missing + keys <- unlist(lapply(MarkitData$swaps[8:length(MarkitData$swaps)], + function(x) paste0("s", tolower(x$tenor))), use.names=FALSE) + for(i in seq_along(keys)){ + swaps[[keys[i]]] <- as.numeric(MarkitData$swaps[i+7]$curvepoint$parrate) + } + } + tsQuotes <- c(deposits, swaps) + return( tsQuotes ) +} + +YC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"){ + ## export the Yield Curve into the environment + MarkitData <- getMarkitIRData(tradedate-1, currency) + evaldate <- as.Date(MarkitData$effectiveasof[[1]]) + setEvaluationDate(tradedate) + if(evaldate!=tradedate){ + stop("wrong date") + } + sDate <- as.Date(MarkitData$deposits$spotdate[[1]]) + setCalendarContext(calendar="WeekendsOnly", fixingDays=2, + settleDate=sDate) + legparams <- switch(currency, + USD = list(fixFreq="Semiannual", + floatFreq="Quarterly", + dayCounter="Thirty360"), + EUR = list(fixFreq="Annual", + floatFreq="Semiannual", + dayCounter="Thirty360")) + params <- list(tradeDate=tradedate, + settleDate=sDate, + interpWhat="discount", + interpHow="loglinear") + quotes <- buildMarkitYC(MarkitData, currency) + return( list(params=params, tsQuotes=quotes, legparams=legparams) ) +} + +dates <- seq(as.Date("2013-01-01"), as.Date("2016-05-16"), by=1) +for(curr in c("USD", "EUR")) { + for(i in 1:length(dates)) { + day <- dates[i] + cal <- switch(curr, + USD = "UnitedStates/GovernmentBond", + EUR = "TARGET") + calibration.date <- advance(calendar=cal, day, -1, 0) + if(isBusinessDay(calendar=cal, day)){ + yc <- YC(calibration.date, currency=curr) + print(day) + test <- DiscountCurve(c(yc$params, list(dt=0.25)), yc$tsQuotes, 1, yc$legparams) + cat(day, test$forwards, "\n") + } } } |