diff options
| -rw-r--r-- | R/build_portfolios.R | 6 | ||||
| -rw-r--r-- | R/build_scenarios.R | 6 | ||||
| -rw-r--r-- | R/load_cf.R | 6 | ||||
| -rw-r--r-- | R/script_calibrate_tranches.R | 7 |
4 files changed, 21 insertions, 4 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 98cecb4f..8652a016 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -35,7 +35,11 @@ calibration.date <- addBusDay(workdate, -1) MarkitData <- getMarkitIRData(calibration.date)
futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
+if(isBusinessDay(calendar="UnitedStates",dates=as.Date(MarkitData$effectiveasof))){
+ setEvaluationDate(addBusDay(tradedate=as.Date(MarkitData$effectiveasof),-1))
+}else{
+ setEvaluationDate(as.Date(MarkitData$effectiveasof))
+}
setCalendarContext("TARGET")
L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 61a4813c..1732f041 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -50,7 +50,11 @@ w <- calibration$w MarkitData <- getMarkitIRData(calibration.date)
futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
+if(isBusinessDay(calendar="UnitedStates",dates=as.Date(MarkitData$effectiveasof))){
+ setEvaluationDate(addBusDay(tradedate=as.Date(MarkitData$effectiveasof),-1))
+}else{
+ setEvaluationDate(as.Date(MarkitData$effectiveasof))
+}
setCalendarContext("TARGET")
L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
diff --git a/R/load_cf.R b/R/load_cf.R index d125c030..befdedde 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -30,7 +30,11 @@ calibration.date <- addBusDay(tradedate, -1) MarkitData <- getMarkitIRData(calibration.date)
futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
+if(isBusinessDay(calendar="UnitedStates",dates=as.Date(MarkitData$effectiveasof))){
+ setEvaluationDate(addBusDay(tradedate=as.Date(MarkitData$effectiveasof),-1))
+}else{
+ setEvaluationDate(as.Date(MarkitData$effectiveasof))
+}
setCalendarContext("TARGET")
L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index 24efabb1..fe443b3d 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -31,7 +31,12 @@ L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12) L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
L6m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/2)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
+
+if(isBusinessDay(calendar="UnitedStates",dates=as.Date(MarkitData$effectiveasof))){
+ setEvaluationDate(addBusDay(tradedate=as.Date(MarkitData$effectiveasof),-1))
+}else{
+ setEvaluationDate(as.Date(MarkitData$effectiveasof))
+}
setCalendarContext("TARGET")
## calibrate HY21
|