diff options
Diffstat (limited to 'R/yieldcurve.R')
| -rw-r--r-- | R/yieldcurve.R | 21 |
1 files changed, 10 insertions, 11 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R index c745fb3c..75a84b30 100644 --- a/R/yieldcurve.R +++ b/R/yieldcurve.R @@ -74,11 +74,10 @@ exportYC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"), useFutures }
}
MarkitData <- getMarkitIRData(tradedate, currency)
- setEvaluationDate(tradedate)
- ## sDate <- advance(calendar="WeekendsOnly", tradedate, 2, 0)
- sDate <- tradedate
setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
- settleDate=sDate)
+ settleDate=tradedate)
+ settings <- Settings$new()
+ settings$EvaluationDate <- tradedate
legparams <- switch(currency,
USD = list(fixFreq="Semiannual",
floatFreq="Quarterly",
@@ -86,14 +85,14 @@ exportYC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"), useFutures EUR = list(fixFreq="Annual",
floatFreq="Semiannual",
dayCounter="Thirty360"))
- params <- list(tradeDate=tradedate,
- settleDate=sDate,
- interpWhat="discount",
- interpHow="loglinear")
+ cal <- Calendar$new("WeekendsOnly")
+ dc <- DayCounter$new("Actual365Fixed")
+
if(exists("futurequotes")){
- quotes <- buildMarkitYC(MarkitData, currency, futurequotes[,2])
+ tsQuotes <- buildMarkitYC(MarkitData, currency, futurequotes[,2])
}else{
- quotes <- buildMarkitYC(MarkitData, currency)
+ tsQuotes <- buildMarkitYC(MarkitData, currency)
}
- YC <<- DiscountCurve(YC$params, YC$tsQuotes, YC$legparams)
+ YC <<- YieldTermStructure$new("discount", "loglinear", 0L, cal,
+ dc, tsQuotes, legparams)
}
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