1 files changed, 34 insertions, 0 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py
new file mode 100644
index 00000000..5b124995
--- /dev/null
+++ b/python/yieldcurve.py
@@ -0,0 +1,34 @@
+from common import root
+import os
+import requests, zipfile
+from io import BytesIO
+import xml.etree.ElementTree as ET
+import datetime
+
+def getMarkitIRData(date):
+    basedir = os.path.join(root, "data", "Yield Curves")
+    datestr = datetime.datetime.strftime(date, "%Y%m%d")
+    filename = "InterestRates_USD_{0}.xml".format(datestr)
+    if not os.path.exists(os.path.join(basedir, filename)):
+        r = requests.get('http://www.markit.com/news/InterestRates_USD_{0}.zip'.format(datestr))
+        if "x-zip" in r.headers['content-type']:
+            with zipfile.ZipFile(BytesIO(r.content)) as z:
+                z.extractall(path = os.path.join(root, "data", "Yield Curves"))
+        else:
+            return getMarkitIRData(date-datetime.timedelta(days=1))
+
+    tree = ET.parse(os.path.join(root, "data", "Yield Curves", filename))
+    deposits = {tenor: rate for tenor, rate in \
+                zip([e.text for e in tree.findall('./deposits/*/tenor')],
+                    [float(e.text) for e in tree.findall('./deposits/*/parrate')])}
+    swaps = {tenor: rate for tenor, rate in \
+             zip([e.text for e in tree.findall('./swaps/*/tenor')],
+                 [float(e.text) for e in tree.findall('./swaps/*/parrate')])}
+    effectiveasof = tree.find('./effectiveasof').text
+    MarkitData = {'deposits': deposits,
+                  'swaps': swaps,
+                  'effectiveasof': datetime.datetime.strptime(effectiveasof, "%Y-%m-%d").date()}
+    return MarkitData
+
+if __name__=="__main__":
+    print(getMarkitIRData(datetime.date.today()))