diff options
Diffstat (limited to 'R/yieldcurve.R')
| -rw-r--r-- | R/yieldcurve.R | 11 |
1 files changed, 5 insertions, 6 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R index 3cb7a6ba..96729c25 100644 --- a/R/yieldcurve.R +++ b/R/yieldcurve.R @@ -43,11 +43,10 @@ basic.advance <- function(date, n, unit){ }
buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25){
- tradeDate <- as.Date(MarkitData$effectiveasof)
- settledate <- advance(calendar = "TARGET",
- dates=tradeDate, n=2, timeUnit=0)
+ tradeDate <- as.Date(MarkitData$swaps$snaptime)
+ settleDate <- as.Date(MarkitData$swaps$spotdate)
params <- list(tradeDate=tradeDate,
- settleDate=settledate,
+ settleDate=settleDate,
dt=dt,
interpWhat="discount",
interpHow="loglinear")
@@ -57,7 +56,7 @@ buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25){ short.term <- list(d1m=as.numeric(MarkitData$deposits[5]$curvepoint$parrate),
d3m=as.numeric(MarkitData$deposits[7]$curvepoint$parrate))
}else{
- immdate <- settledate
+ immdate <- settleDate
for(i in seq_along(futurequotes)){
short.term[[paste0("fut",i)]] <- futurequotes[i]
immdate <- RQuantLib::nextIMMDate(immdate)
@@ -65,7 +64,7 @@ buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25){ #advance last futures date by 3 months
lastfuturedate <- basic.advance(immdate, 3, "month")
## find out the 2 year swap rate maturity
- s2ymaturity <- basic.advance(settledate, 2, "year")
+ s2ymaturity <- basic.advance(settleDate, 2, "year")
if(s2ymaturity == lastfuturedate){
short.term[["fut8"]] <- NULL
}
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