diff options
Diffstat (limited to 'R/build_scenarios.R')
| -rw-r--r-- | R/build_scenarios.R | 21 |
1 files changed, 1 insertions, 20 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 1732f041..981e3ef7 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -41,26 +41,7 @@ load.index("hy21") calibration.date <- addBusDay(tradedate, -1)
settledate <- addBusDay(tradedate, 3)
-calibration <- read.table(file.path(root.dir, "Scenarios", "Calibration",
- paste0("calibration-", calibration.date,".csv")), sep=",", header=T)
-Z <- calibration$Z
-w <- calibration$w
-
-
-MarkitData <- getMarkitIRData(calibration.date)
-futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
- sprintf("futures-%s.csv", calibration.date)), header=F)
-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)
-L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
-L6m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/2)
-L12m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1)
+exportYC(calibration.date)
Ngrid <- 201
support <- seq(0, 1, length = Ngrid)
|