1 files changed, 63 insertions, 0 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R
new file mode 100644
index 00000000..a21937b9
--- /dev/null
+++ b/R/yieldcurve.R
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+library(XML)
+
+getMarkitIRData <- function(date=Sys.Date()) {
+    ## downloads the latest available interest rates data from Markit
+    ## before date and returns the parsed file into a list
+    require(XML)
+    i <- 0
+    temp <- tempfile()
+    while( TRUE ) {
+        lastdate <- format(date-i,"%Y%m%d")
+        filename <- paste("InterestRates_USD_", lastdate, sep="")
+        download.file(paste("http://www.markit.com/news/", filename, ".zip", sep=""), temp, quiet=T)
+        con <- file(temp, "r")
+        firstline <- readLines(con, 1)
+        # Markit returns a plain text file if there is no data.
+        if(firstline == "Interest Rates not available, please check date entered") {
+            i <- i + 1
+            close(con)
+        } else {
+            cat("downloaded data for:", lastdate,"\n")
+            close(con)
+            # we unzip it
+            unzip(temp)
+            unlink(temp)
+            break
+        }
+    }
+    return( xmlToList(paste(filename,".xml", sep="")) )
+}
+
+buildMarkitYC <- function(MarkitData, dt=0.25){
+    settledate <- as.Date(MarkitData$deposits$spotdate)
+
+    params <- list(tradeDate=as.Date(MarkitData$effectiveasof,format="%Y-%m-%d"),
+                   settleDate=settledate,
+                   dt=dt,
+                   interpWhat="discount",
+                   interpHow="loglinear")
+
+    tsQuotes <- list(d1m=as.numeric(MarkitData$deposits[5]$curvepoint$parrate),
+                     #d2m=as.numeric(MarkitData$deposits[6]$curvepoint$parrate),
+                     d3m=as.numeric(MarkitData$deposits[7]$curvepoint$parrate),
+                     ## d6m=as.numeric(MarkitData$deposits[8]$curvepoint$parrate),
+                     ## d9m=as.numeric(MarkitData$deposits[9]$curvepoint$parrate),
+                     ## d1y=as.numeric(MarkitData$deposits[10]$curvepoint$parrate),
+                     s2y=as.numeric(MarkitData$swaps[8]$curvepoint$parrate),
+                     s3y=as.numeric(MarkitData$swaps[9]$curvepoint$parrate),
+                     #s4y=as.numeric(MarkitData$swaps[10]$curvepoint$parrate),
+                     s5y=as.numeric(MarkitData$swaps[11]$curvepoint$parrate),
+                     #s6y=as.numeric(MarkitData$swaps[12]$curvepoint$parrate),
+                     #s7y=as.numeric(MarkitData$swaps[13]$curvepoint$parrate),
+                     #s8y=as.numeric(MarkitData$swaps[14]$curvepoint$parrate),
+                     #s9y=as.numeric(MarkitData$swaps[15]$curvepoint$parrate),
+                     s10y=as.numeric(MarkitData$swaps[16]$curvepoint$parrate),
+                     #s12y=as.numeric(MarkitData$swaps[17]$curvepoint$parrate),
+                     s15y=as.numeric(MarkitData$swaps[18]$curvepoint$parrate),
+                     s20y=as.numeric(MarkitData$swaps[19]$curvepoint$parrate),
+                     #s25y=as.numeric(MarkitData$swaps[20]$curvepoint$parrate),
+                     s30y=as.numeric(MarkitData$swaps[21]$curvepoint$parrate))
+    YC.USD <- list(params=params, tsQuotes=tsQuotes)
+    return( YC.USD )
+}
+