diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/yieldcurve.R | 40 |
1 files changed, 6 insertions, 34 deletions
diff --git a/R/yieldcurve.R b/R/yieldcurve.R index cf2941f9..86da47c2 100644 --- a/R/yieldcurve.R +++ b/R/yieldcurve.R @@ -5,7 +5,7 @@ source("db.R") getMarkitIRData <- function(date=Sys.Date(), currency=c("USD", "EUR")) { ## returns Markit rates from serenitasdb currency <- match.arg(currency) - table_name <- paste(currency, "rates", sep="_") + table_name <- paste(currency, "OIS", "rates", sep="_") serenitasdb <- dbConn("serenitasdb") return( serenitasdb %>% tbl(table_name) %>% filter(effective_date == date) %>% collect() ) @@ -22,41 +22,13 @@ nextthirdwed <- function(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)])) { +buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR"), futurequotes) { + oisswaps <- list() + for(k in names(MarkitData[2:length(MarkitData)])) { v <- MarkitData[[k]] - if(is.na(v)) { - next - } - swaps[[paste0("s", tolower(k))]] <- v + oisswaps[[paste0("ois", tolower(k))]] <- v } - tsQuotes <- c(deposits, futures, swaps) - return( tsQuotes ) + return( oisswaps ) } exportYC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"), useFutures=FALSE) { |