diff options
Diffstat (limited to 'R/yieldcurve.R')
| -rw-r--r-- | R/yieldcurve.R | 18 |
1 files changed, 9 insertions, 9 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R index e53e3f5a..e8555054 100644 --- a/R/yieldcurve.R +++ b/R/yieldcurve.R @@ -27,7 +27,7 @@ buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR"), futurequotes){ deposits <- list() futures <- list() swaps <- list() - if(missing(futurequotes)){ + if(missing(futurequotes)) { for(k in names(MarkitData[2:7])) { v <- MarkitData[[k]] if(is.na(v)) { @@ -35,8 +35,8 @@ buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR"), futurequotes){ } deposits[[paste0("d", tolower(k))]] <- v } - }else{ - for(i in seq_along(futurequotes)){ + } else { + for(i in seq_along(futurequotes)) { futures[[paste0("fut",i)]] <- futurequotes[i] } ## get last imm date @@ -76,17 +76,17 @@ exportYC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"), useFutures settings$EvaluationDate <- tradedate legparams <- switch(currency, USD = list(fixFreq="Semiannual", - floatFreq="Quarterly", - dayCounter="Thirty360"), + floatFreq="Quarterly", + dayCounter="Thirty360"), EUR = list(fixFreq="Annual", - floatFreq="Semiannual", - dayCounter="Thirty360")) + floatFreq="Semiannual", + dayCounter="Thirty360")) cal <- Calendar$new("WeekendsOnly") dc <- DayCounter$new("Actual365Fixed") - if(exists("futurequotes")){ + if(exists("futurequotes")) { tsQuotes <- buildMarkitYC(MarkitData, currency, futurequotes[,2]) - }else{ + } else { tsQuotes <- buildMarkitYC(MarkitData, currency) } YC <<- YieldTermStructure$new("discount", "loglinear", 0L, cal, |