1 files changed, 15 insertions, 26 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R
index f7c6b47a..c0fc77de 100644
--- a/R/yieldcurve.R
+++ b/R/yieldcurve.R
@@ -33,28 +33,20 @@ getMarkitIRData <- function(date=Sys.Date()) {
     return( xmlToList(paste(filename,".xml", sep="")) )
 }
 
-basic.advance <- function(date, n, unit){
-    ## advance a date by a given amount, whithout taking into account, business days
-    ## n is the number of steps
-    ## unit is the unit (belongs in "day", "month" or "year"
-    stopifnot(class(date)=="Date")
-    return(seq.Date(date, length=2, by=paste(n, unit))[2])
-
-}
-
 thirdwed <- function(x) {
-   d <- x - as.POSIXlt(x)$mday + 1
-   n <- (3-as.POSIXlt(d)$wday) %% 7 + 1
-   d + 14 + n - 1
+    d <- x - as.POSIXlt(x)$mday + 1
+    n <- (3-as.POSIXlt(d)$wday) %% 7 + 1
+    d + 14 + n - 1
 }
 
 nextthirdwed <- function(x) {
-  y <- thirdwed(x)
-  thirdwed(y + 30 * (y < x))
+    y <- thirdwed(x)
+    thirdwed(y + 30 * (y < x))
 }
 
 buildMarkitYC <- function(MarkitData, futurequotes, tradeDate=Sys.Date()){
     settleDate <- advance(calendar="UnitedKingdom",dates=tradeDate, 2, 0)
+    names(settleDate) <- NULL
     params <- list(tradeDate=tradeDate,
                    settleDate=settleDate,
                    dt=dt,
@@ -66,16 +58,15 @@ buildMarkitYC <- function(MarkitData, futurequotes, tradeDate=Sys.Date()){
         short.term <- list(d1m=as.numeric(MarkitData$deposits[5]$curvepoint$parrate),
                            d3m=as.numeric(MarkitData$deposits[7]$curvepoint$parrate))
     }else{
-        immdate <- settleDate
         for(i in seq_along(futurequotes)){
             short.term[[paste0("fut",i)]] <- futurequotes[i]
-            immdate <- nextthirdwed(immdate)
         }
-        #advance last futures date by 3 months
-        lastfuturedate <- basic.advance(immdate, 3, "month")
+        ## get last imm date
+        lastimmdate <- nextthirdwed(advance(dates=tradeDate, n=21, timeUnit=2, bdc=4))
+        lastfuturematurity <- advance(dates=lastimmdate, n=3, timeUnit=2, bdc=4)
         ## find out the 2 year swap rate maturity
-        s2ymaturity <- basic.advance(settleDate, 2, "year")
-        if(s2ymaturity == lastfuturedate){
+        s2ymaturity <- advance(calendar="UnitedKingdom", dates=settleDate, 2, 3)
+        if(s2ymaturity == lastfuturematurity){
             short.term[["fut8"]] <- NULL
         }
     }
@@ -105,8 +96,11 @@ exportYC <- function(tradedate=Sys.Date()){
     futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
                                        sprintf("futures-%s.csv", tradedate)), header=F)
     ##retrieve yield curve data
+    evaldate <- adjust(calendar="UnitedKingdom", dates=tradedate)
+    names(evaldate) <- NULL
+    setEvaluationDate(evaldate)
     MarkitData <- getMarkitIRData(tradedate)
-    Libor <- buildMarkitYC(MarkitData, futurequotes[,2], tradedate)
+    Libor <- buildMarkitYC(MarkitData, futurequotes[,2], evaldate)
     L1m <- Libor
     L2m <- Libor
     L3m <- Libor
@@ -117,11 +111,6 @@ exportYC <- function(tradedate=Sys.Date()){
     L3m$params$dt <- 1/4
     L6m$params$dt <- 1/2
     L12m$params$dt <- 1
-    evaldate <- tradedate
-    if(advance(calendar="TARGET",tradedate, 2, 0)!=Libor$params$settleDate){
-        evaldate <- tradedate+1
-    }
-    setEvaluationDate(evaldate)
     assign("L1m", L1m, env = parent.env(environment()))
     assign("L2m", L2m, env = parent.env(environment()))
     assign("L3m", L3m, env = parent.env(environment()))