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require(RQuantLib)
if(.Platform$OS.type == "unix"){
data.dir <- "/home/share/CorpCDOs/data"
}else{
data.dir <- "//WDSENTINEL/share/CorpCDOs/data"
}
getMarkitIRData <- function(date=Sys.Date()) {
## downloads the latest available interest rates data from Markit
## before date and returns the parsed file into a list
require(XML)
i <- 0
while( TRUE ) {
lastdate <- format(date-i, "%Y%m%d")
filename <- paste("InterestRates", "USD", lastdate, sep="_")
filename.ext <- paste0(filename,".xml")
if( filename.ext %in% dir(file.path(data.dir, "Yield Curves"))){
return( xmlToList(file.path(data.dir, "Yield Curves", filename.ext)) )
}else{
temp <- tempfile(tmpdir = file.path(data.dir, "Yield Curves"))
download.file(paste("http://www.markit.com/news/", filename, ".zip", sep=""), temp, quiet=T)
con <- file(temp, "r")
firstline <- readLines(con, 1, warn=FALSE)
## Markit returns a plain text file if there is no data.
if(firstline == "Interest Rates not available, please check date entered") {
i <- i + 1
close(con)
unlink(temp)
} else {
cat("downloaded data for:", lastdate,"\n")
close(con)
## we unzip it
unzip(temp, exdir = file.path(data.dir, "Yield Curves"))
unlink(temp)
return( xmlToList(file.path(data.dir, "Yield Curves", filename.ext)) )
}
}
}
return( xmlToList(paste(filename,".xml", sep="")) )
}
thirdwed <- function(x) {
d <- x - as.POSIXlt(x)$mday + 1
n <- (3-as.POSIXlt(d)$wday) %% 7 + 1
d + 14 + n - 1
}
nextthirdwed <- function(x) {
y <- thirdwed(x)
thirdwed(y + 30 * (y < x))
}
buildMarkitYC <- function(MarkitData, futurequotes){
deposits <- list()
futures <- list()
swaps <- list()
if(missing(futurequotes)){
keys <- c("d1m", "d2m", "d3m", "d6m", "d1y")
for(i in seq_along(keys)){
deposits[[keys[i]]] <- as.numeric(MarkitData$deposits[i+4]$curvepoint$parrate)
}
}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
}
}
keys <- unlist(lapply(MarkitData$swaps[8:21],
function(x) paste0("s", tolower(x$tenor))),use.names=FALSE)
for(i in seq_along(keys)){
swaps[[keys[i]]] <- as.numeric(MarkitData$swaps[i+7]$curvepoint$parrate)
}
tsQuotes <- c(deposits, futures, swaps)
return( tsQuotes )
}
exportYC <- function(tradedate=Sys.Date(), useFutures=FALSE){
## export the Yield Curve into the environment
require(RQuantLib)
if(useFutures){
futurefile <- file.path(data.dir, "Yield Curves",
sprintf("futures-%s.csv", tradedate))
if(file.exists(futurefile)){
futurequotes <- read.csv(futurefile, header=F)
}
}
MarkitData <- getMarkitIRData(tradedate-1)
evaldate <- as.Date(MarkitData$effectiveasof)
setEvaluationDate(tradedate)
if(evaldate!=tradedate){
stop("wrong date")
}
setEvaluationDate(evaldate)
settleDate <- as.Date(MarkitData$deposits$spotdate)
setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
settleDate=as.Date(MarkitData$deposits$spotdate))
params <- list(tradeDate=as.Date(MarkitData$effectiveasof),
settleDate=settleDate,
interpWhat="discount",
interpHow="loglinear")
if(exists("futurequotes")){
quotes <- buildMarkitYC(MarkitData, futurequotes[,2])
}else{
quotes <- buildMarkitYC(MarkitData)
}
L1m <- L2m <- L3m <- L6m <- L12m <- list(params=params, tsQuotes=quotes)
L1m$params$dt <- 1/12
L2m$params$dt <- 1/6
L3m$params$dt <- 1/4
L6m$params$dt <- 1/2
L12m$params$dt <- 1
assign("L1m", L1m, env = parent.env(environment()))
assign("L2m", L2m, env = parent.env(environment()))
assign("L3m", L3m, env = parent.env(environment()))
assign("L6m", L6m, env = parent.env(environment()))
assign("L12m", L12m, env = parent.env(environment()))
}
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