diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/yieldcurve.R | 8 |
1 files changed, 5 insertions, 3 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R index f17ab926..ce373d45 100644 --- a/R/yieldcurve.R +++ b/R/yieldcurve.R @@ -33,8 +33,10 @@ getMarkitIRData <- function(date=Sys.Date()) { }
buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25){
- settledate <- as.Date(MarkitData$deposits$spotdate)
- params <- list(tradeDate=as.Date(MarkitData$effectiveasof, format="%Y-%m-%d"),
+ tradeDate <- as.Date(MarkitData$deposits$snaptime)
+ settledate <- advance(calendar = "UnitedStates/GovernmentBond",
+ dates=tradeDate, n=2, timeUnit=0)
+ params <- list(tradeDate=tradeDate,
settleDate=settledate,
dt=dt,
interpWhat="discount",
@@ -43,7 +45,7 @@ buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25){ short.term <- list()
if(missing(futurequotes)){
short.term <- list(d1m=as.numeric(MarkitData$deposits[5]$curvepoint$parrate),
- d3m=as.numeric(MarkitData$deposits[7]$curvepoint$parrate))
+ d3m=as.numeric(MarkitData$deposits[7]$curvepoint$parrate))
}else{
for(i in seq_along(futurequotes)){
short.term[[paste0("fut",i)]] <- futurequotes[i]
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