1 files changed, 0 insertions, 63 deletions
diff --git a/yieldcurve.R b/yieldcurve.R
deleted file mode 100644
index a21937b9..00000000
--- a/yieldcurve.R
+++ /dev/null
@@ -1,63 +0,0 @@
-library(XML)
-
-getMarkitIRData <- function(date=Sys.Date()) {
-    ## downloads the latest available interest rates data from Markit
-    ## before date and returns the parsed file into a list
-    require(XML)
-    i <- 0
-    temp <- tempfile()
-    while( TRUE ) {
-        lastdate <- format(date-i,"%Y%m%d")
-        filename <- paste("InterestRates_USD_", lastdate, sep="")
-        download.file(paste("http://www.markit.com/news/", filename, ".zip", sep=""), temp, quiet=T)
-        con <- file(temp, "r")
-        firstline <- readLines(con, 1)
-        # Markit returns a plain text file if there is no data.
-        if(firstline == "Interest Rates not available, please check date entered") {
-            i <- i + 1
-            close(con)
-        } else {
-            cat("downloaded data for:", lastdate,"\n")
-            close(con)
-            # we unzip it
-            unzip(temp)
-            unlink(temp)
-            break
-        }
-    }
-    return( xmlToList(paste(filename,".xml", sep="")) )
-}
-
-buildMarkitYC <- function(MarkitData, dt=0.25){
-    settledate <- as.Date(MarkitData$deposits$spotdate)
-
-    params <- list(tradeDate=as.Date(MarkitData$effectiveasof,format="%Y-%m-%d"),
-                   settleDate=settledate,
-                   dt=dt,
-                   interpWhat="discount",
-                   interpHow="loglinear")
-
-    tsQuotes <- list(d1m=as.numeric(MarkitData$deposits[5]$curvepoint$parrate),
-                     #d2m=as.numeric(MarkitData$deposits[6]$curvepoint$parrate),
-                     d3m=as.numeric(MarkitData$deposits[7]$curvepoint$parrate),
-                     ## d6m=as.numeric(MarkitData$deposits[8]$curvepoint$parrate),
-                     ## d9m=as.numeric(MarkitData$deposits[9]$curvepoint$parrate),
-                     ## d1y=as.numeric(MarkitData$deposits[10]$curvepoint$parrate),
-                     s2y=as.numeric(MarkitData$swaps[8]$curvepoint$parrate),
-                     s3y=as.numeric(MarkitData$swaps[9]$curvepoint$parrate),
-                     #s4y=as.numeric(MarkitData$swaps[10]$curvepoint$parrate),
-                     s5y=as.numeric(MarkitData$swaps[11]$curvepoint$parrate),
-                     #s6y=as.numeric(MarkitData$swaps[12]$curvepoint$parrate),
-                     #s7y=as.numeric(MarkitData$swaps[13]$curvepoint$parrate),
-                     #s8y=as.numeric(MarkitData$swaps[14]$curvepoint$parrate),
-                     #s9y=as.numeric(MarkitData$swaps[15]$curvepoint$parrate),
-                     s10y=as.numeric(MarkitData$swaps[16]$curvepoint$parrate),
-                     #s12y=as.numeric(MarkitData$swaps[17]$curvepoint$parrate),
-                     s15y=as.numeric(MarkitData$swaps[18]$curvepoint$parrate),
-                     s20y=as.numeric(MarkitData$swaps[19]$curvepoint$parrate),
-                     #s25y=as.numeric(MarkitData$swaps[20]$curvepoint$parrate),
-                     s30y=as.numeric(MarkitData$swaps[21]$curvepoint$parrate))
-    YC.USD <- list(params=params, tsQuotes=tsQuotes)
-    return( YC.USD )
-}
-