aboutsummaryrefslogtreecommitdiffstats
path: root/R/yieldcurve.R
diff options
context:
space:
mode:
Diffstat (limited to 'R/yieldcurve.R')
-rw-r--r--R/yieldcurve.R3
1 files changed, 1 insertions, 2 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R
index a1fb0b01..37e1198c 100644
--- a/R/yieldcurve.R
+++ b/R/yieldcurve.R
@@ -53,8 +53,7 @@ nextthirdwed <- function(x) {
thirdwed(y + 30 * (y < x))
}
-buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25){
- tradeDate <- as.Date(MarkitData$swaps$snaptime)
+buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25, tradeDate=Sys.Date()){
settleDate <- as.Date(MarkitData$swaps$spotdate)
params <- list(tradeDate=tradeDate,
settleDate=settleDate,