diff options
Diffstat (limited to 'R/build_portfolios.R')
| -rw-r--r-- | R/build_portfolios.R | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index c4bea6db..468b37e1 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -34,12 +34,11 @@ 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$deposits$snaptime))
+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)
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