1 files changed, 6 insertions, 34 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R
index cf2941f9..86da47c2 100644
--- a/R/yieldcurve.R
+++ b/R/yieldcurve.R
@@ -5,7 +5,7 @@ source("db.R")
 getMarkitIRData <- function(date=Sys.Date(), currency=c("USD", "EUR")) {
     ## returns Markit rates from serenitasdb
     currency <- match.arg(currency)
-    table_name <- paste(currency, "rates", sep="_")
+    table_name <- paste(currency, "OIS", "rates", sep="_")
     serenitasdb <- dbConn("serenitasdb")
     return( serenitasdb %>% tbl(table_name)
            %>% filter(effective_date == date) %>% collect() )
@@ -22,41 +22,13 @@ nextthirdwed <- function(x) {
     thirdwed(y + 30 * (y < x))
 }
 
-buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR"), futurequotes){
-    currency <- match.arg(currency)
-    deposits <- list()
-    futures <- list()
-    swaps <- list()
-    if(missing(futurequotes)) {
-        for(k in names(MarkitData[2:7])) {
-            v <- MarkitData[[k]]
-            if(is.na(v)) {
-                next
-            }
-            deposits[[paste0("d", tolower(k))]] <- v
-        }
-    } else {
-        for(i in seq_along(futurequotes)) {
-            futures[[paste0("fut",i)]] <- futurequotes[i]
-        }
-        ## 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 <- advance(calendar="UnitedKingdom", dates=settleDate, 2, 3)
-        if(s2ymaturity == lastfuturematurity){
-            futures[["fut8"]] <- NULL
-        }
-    }
-    for(k in names(MarkitData[8:length(MarkitData)])) {
+buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR"), futurequotes) {
+    oisswaps <- list()
+    for(k in names(MarkitData[2:length(MarkitData)])) {
         v <- MarkitData[[k]]
-        if(is.na(v)) {
-            next
-        }
-        swaps[[paste0("s", tolower(k))]] <- v
+        oisswaps[[paste0("ois", tolower(k))]] <- v
     }
-    tsQuotes <- c(deposits, futures, swaps)
-    return( tsQuotes )
+    return( oisswaps )
 }
 
 exportYC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"), useFutures=FALSE) {