diff options
Diffstat (limited to 'R/beta_trade.R')
| -rw-r--r-- | R/beta_trade.R | 9 |
1 files changed, 7 insertions, 2 deletions
diff --git a/R/beta_trade.R b/R/beta_trade.R index 49e8a6b2..8a5ea123 100644 --- a/R/beta_trade.R +++ b/R/beta_trade.R @@ -1,9 +1,14 @@ library(timeSeries) library(MTS) +library(Rblpapi) -data <- feather::read_feather("/home/share/CorpCDOs/data/index_returns.fth") +blpConnect(host='192.168.9.61') + +data <- feather::read_feather("/home/serenitas/CorpCDOs/data/index_returns.fth") data$date <- as.Date(data$date) -returns <- timeSeries(data[,c("ig", "hy")], data$date) +df <- bdh(paste("VIX", "Index"), "PX_LAST", start.date=as.Date("2009-03-20")) +df <- as.tibble(df) + R <- na.omit(returns) R <- scale(R, scale=F) chol <- MCholV(na.omit(returns)) |