diff options
Diffstat (limited to 'R/load_cf.R')
| -rw-r--r-- | R/load_cf.R | 15 |
1 files changed, 1 insertions, 14 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index befdedde..abaf9ef1 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -27,20 +27,7 @@ source(file.path(root.dir, "code", "R", "interpweights.R")) load.index("hy21")
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)
-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)
dm <- 0
sanitize.column <- function(vec){
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