diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/build_portfolios.R | 2 | ||||
| -rw-r--r-- | R/build_scenarios.R | 2 | ||||
| -rw-r--r-- | R/load_cf.R | 2 |
3 files changed, 3 insertions, 3 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 3f062eb4..98cecb4f 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -36,7 +36,7 @@ MarkitData <- getMarkitIRData(calibration.date) futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
setEvaluationDate(as.Date(MarkitData$effectiveasof))
-setCalendarContext("UnitedStates/GovernmentBond")
+setCalendarContext("TARGET")
L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 4735a4a8..61a4813c 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -51,7 +51,7 @@ MarkitData <- getMarkitIRData(calibration.date) futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
setEvaluationDate(as.Date(MarkitData$effectiveasof))
-setCalendarContext("UnitedStates/GovernmentBond")
+setCalendarContext("TARGET")
L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
diff --git a/R/load_cf.R b/R/load_cf.R index a2b6a2b8..d125c030 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -31,7 +31,7 @@ MarkitData <- getMarkitIRData(calibration.date) futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
setEvaluationDate(as.Date(MarkitData$effectiveasof))
-setCalendarContext("UnitedStates/GovernmentBond")
+setCalendarContext("TARGET")
L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
|