diff options
Diffstat (limited to 'R/yieldcurve.R')
| -rw-r--r-- | R/yieldcurve.R | 196 |
1 files changed, 98 insertions, 98 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R index 75a84b30..fd6c5744 100644 --- a/R/yieldcurve.R +++ b/R/yieldcurve.R @@ -1,98 +1,98 @@ -require(RQuantLib)
-root.dir <- if(.Platform$OS.type == "unix"){
- "/home/share/CorpCDOs"
-}else{
- "//WDSENTINEL/share/CorpCDOs"
-}
-
-source(file.path(root.dir, "code", "R", "db.R"))
-
-getMarkitIRData <- function(date=Sys.Date(), currency=c("USD", "EUR")) {
- ## returns Markit rates from serenitasdb
- currency <- match.arg(currency)
- sqlstr <- sprintf("SELECT * FROM %s_rates WHERE effective_date = $1", currency)
- serenitasdb <- dbConn("serenitasdb")
- return( dbGetQuery(serenitasdb, sqlstr, params = list(date)) )
-}
-
-thirdwed <- function(x) {
- d <- x - as.POSIXlt(x)$mday + 1
- n <- (3-as.POSIXlt(d)$wday) %% 7 + 1
- d + 14 + n - 1
-}
-
-nextthirdwed <- function(x) {
- y <- thirdwed(x)
- thirdwed(y + 30 * (y < x))
-}
-
-buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR"), futurequotes){
- currency <- match.arg(currency)
- deposits <- list()
- futures <- list()
- swaps <- list()
- if(missing(futurequotes)){
- for(k in names(MarkitData[2:7])) {
- v <- MarkitData[[k]]
- if(is.na(v)) {
- next
- }
- deposits[[paste0("d", tolower(k))]] <- v
- }
- }else{
- for(i in seq_along(futurequotes)){
- futures[[paste0("fut",i)]] <- futurequotes[i]
- }
- ## get last imm date
- lastimmdate <- nextthirdwed(advance(dates=tradeDate, n=21, timeUnit=2, bdc=4))
- lastfuturematurity <- advance(dates=lastimmdate, n=3, timeUnit=2, bdc=4)
- ## find out the 2 year swap rate maturity
- s2ymaturity <- advance(calendar="UnitedKingdom", dates=settleDate, 2, 3)
- if(s2ymaturity == lastfuturematurity){
- futures[["fut8"]] <- NULL
- }
- }
- for(k in names(MarkitData[8:length(MarkitData)])) {
- v <- MarkitData[[k]]
- if(is.na(v)) {
- next
- }
- swaps[[paste0("s", tolower(k))]] <- v
- }
- tsQuotes <- c(deposits, futures, swaps)
- return( tsQuotes )
-}
-
-exportYC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"), useFutures=FALSE){
- ## export the Yield Curve into the environment
- currency <- match.arg(currency)
- if(useFutures){
- futurefile <- file.path(data.dir, "Yield Curves",
- sprintf("futures-%s.csv", tradedate))
- if(file.exists(futurefile)){
- futurequotes <- read.csv(futurefile, header=F)
- }
- }
- MarkitData <- getMarkitIRData(tradedate, currency)
- setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
- settleDate=tradedate)
- settings <- Settings$new()
- settings$EvaluationDate <- tradedate
- legparams <- switch(currency,
- USD = list(fixFreq="Semiannual",
- floatFreq="Quarterly",
- dayCounter="Thirty360"),
- EUR = list(fixFreq="Annual",
- floatFreq="Semiannual",
- dayCounter="Thirty360"))
- cal <- Calendar$new("WeekendsOnly")
- dc <- DayCounter$new("Actual365Fixed")
-
- if(exists("futurequotes")){
- tsQuotes <- buildMarkitYC(MarkitData, currency, futurequotes[,2])
- }else{
- tsQuotes <- buildMarkitYC(MarkitData, currency)
- }
- YC <<- YieldTermStructure$new("discount", "loglinear", 0L, cal,
- dc, tsQuotes, legparams)
-}
+require(RQuantLib) +root.dir <- if(.Platform$OS.type == "unix"){ + "/home/share/CorpCDOs" +}else{ + "//WDSENTINEL/share/CorpCDOs" +} + +source(file.path(root.dir, "code", "R", "db.R")) + +getMarkitIRData <- function(date=Sys.Date(), currency=c("USD", "EUR")) { + ## returns Markit rates from serenitasdb + currency <- match.arg(currency) + sqlstr <- sprintf("SELECT * FROM %s_rates WHERE effective_date = $1", currency) + serenitasdb <- dbConn("serenitasdb") + return( dbGetQuery(serenitasdb, sqlstr, params = list(date)) ) +} + +thirdwed <- function(x) { + d <- x - as.POSIXlt(x)$mday + 1 + n <- (3-as.POSIXlt(d)$wday) %% 7 + 1 + d + 14 + n - 1 +} + +nextthirdwed <- function(x) { + y <- thirdwed(x) + thirdwed(y + 30 * (y < x)) +} + +buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR"), futurequotes){ + currency <- match.arg(currency) + deposits <- list() + futures <- list() + swaps <- list() + if(missing(futurequotes)){ + for(k in names(MarkitData[2:7])) { + v <- MarkitData[[k]] + if(is.na(v)) { + next + } + deposits[[paste0("d", tolower(k))]] <- v + } + }else{ + for(i in seq_along(futurequotes)){ + futures[[paste0("fut",i)]] <- futurequotes[i] + } + ## get last imm date + lastimmdate <- nextthirdwed(advance(dates=tradeDate, n=21, timeUnit=2, bdc=4)) + lastfuturematurity <- advance(dates=lastimmdate, n=3, timeUnit=2, bdc=4) + ## find out the 2 year swap rate maturity + s2ymaturity <- advance(calendar="UnitedKingdom", dates=settleDate, 2, 3) + if(s2ymaturity == lastfuturematurity){ + futures[["fut8"]] <- NULL + } + } + for(k in names(MarkitData[8:length(MarkitData)])) { + v <- MarkitData[[k]] + if(is.na(v)) { + next + } + swaps[[paste0("s", tolower(k))]] <- v + } + tsQuotes <- c(deposits, futures, swaps) + return( tsQuotes ) +} + +exportYC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"), useFutures=FALSE){ + ## export the Yield Curve into the environment + currency <- match.arg(currency) + if(useFutures){ + futurefile <- file.path(data.dir, "Yield Curves", + sprintf("futures-%s.csv", tradedate)) + if(file.exists(futurefile)){ + futurequotes <- read.csv(futurefile, header=F) + } + } + MarkitData <- getMarkitIRData(tradedate, currency) + setCalendarContext(calendar="WeekendsOnly", fixingDays=2, + settleDate=tradedate) + settings <- Settings$new() + settings$EvaluationDate <- tradedate + legparams <- switch(currency, + USD = list(fixFreq="Semiannual", + floatFreq="Quarterly", + dayCounter="Thirty360"), + EUR = list(fixFreq="Annual", + floatFreq="Semiannual", + dayCounter="Thirty360")) + cal <- Calendar$new("WeekendsOnly") + dc <- DayCounter$new("Actual365Fixed") + + if(exists("futurequotes")){ + tsQuotes <- buildMarkitYC(MarkitData, currency, futurequotes[,2]) + }else{ + tsQuotes <- buildMarkitYC(MarkitData, currency) + } + YC <<- YieldTermStructure$new("discount", "loglinear", 0L, cal, + dc, tsQuotes, legparams) +} |