diff options
Diffstat (limited to 'R/build_portfolios.R')
| -rw-r--r-- | R/build_portfolios.R | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 8375ccb1..c4bea6db 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -9,6 +9,8 @@ if(.Platform$OS.type == "unix"){ }
source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
+source(file.path(root.dir, "code", "R", "index_definitions.R"))
+source(file.path(root.dir, "code", "R", "cds_utils.R"))
if(length(args) >=2){
dealnames <- args[-1]
@@ -22,9 +24,6 @@ if(length(args) >=2){ unlink(file.path(root.dir, "scripts", "cusips_to_price.txt"))
}
-source(file.path(root.dir, "code", "R", "index_definitions.R"))
-source(file.path(root.dir, "code", "R", "cds_utils.R"))
-
if(length(args) >= 1){
workdate <- as.Date(args[1])
}else{
@@ -35,7 +34,7 @@ calibration.date <- prevBusDay(workdate) MarkitData <- getMarkitIRData(calibration.date)
futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
+setEvaluationDate(as.Date(MarkitData$deposits$snaptime))
setCalendarContext("UnitedStates/GovernmentBond")
L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
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