R/tests/test_yieldcurve.R


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source("yieldcurve.R")
source("cds_utils.R")
root.dir <- "/home/share/CorpCDOs/"

dates <- seq(as.Date("2013-05-01"), as.Date("2014-05-01"), by=1)
for(i in 1:length(dates)){
    day <- dates[i]
    calibration.date <- addBusDay(day, -1)
    print(calibration.date)
    print(day)
    if(isBusinessDay(calendar="UnitedStates", day)){
        exportYC(calibration.date)
        test <- DiscountCurve(c(YC$params, list(dt=0.25)), YC$tsQuotes, 1, YC$legparams)
    }
}