1 files changed, 24 insertions, 0 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R
index 96729c25..ddde9ae3 100644
--- a/R/yieldcurve.R
+++ b/R/yieldcurve.R
@@ -88,3 +88,27 @@ buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25){
     YC.USD <- list(params=params, tsQuotes=tsQuotes)
     return( YC.USD )
 }
+
+exportYC <- function(tradedate=Sys.Date(), calibration.date=tradedate){
+    ## export the Yield Curve into the environment
+    require(RQuantLib)
+    futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
+                                       sprintf("futures-%s.csv", calibration.date)), header=F)
+    ##retrieve yield curve data
+    MarkitData <- getMarkitIRData(tradedate)
+    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)
+
+    if(!isBusinessDay(calendar="UnitedStates/GovernmentBond",dates=as.Date(MarkitData$effectiveasof))){
+        setEvaluationDate(addBusDay(tradedate=as.Date(MarkitData$effectiveasof),-1))
+    }else{
+        setEvaluationDate(as.Date(MarkitData$effectiveasof))
+    }
+    setCalendarContext("TARGET")
+    assign("L1m", L1m, env = parent.env(environment()))
+    assign("L2m", L2m, env = parent.env(environment()))
+    assign("L3m", L3m, env = parent.env(environment()))
+    assign("L6m", L6m, env = parent.env(environment()))
+}