diff options
Diffstat (limited to 'R/load_cf.R')
| -rw-r--r-- | R/load_cf.R | 6 |
1 files changed, 5 insertions, 1 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index d125c030..befdedde 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -30,7 +30,11 @@ 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)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
+if(isBusinessDay(calendar="UnitedStates",dates=as.Date(MarkitData$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)
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