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require(RQuantLib)
library(dplyr, quiet = T, warn.conflicts = F)
source("db.R")
getMarkitIRData <- function(date=Sys.Date(), currency=c("USD", "EUR")) {
## returns Markit rates from serenitasdb
currency <- match.arg(currency)
table_name <- paste(currency, "rates", sep="_")
serenitasdb <- dbConn("serenitasdb")
return( serenitasdb %>% tbl(table_name)
%>% filter(effective_date == date) %>% collect() )
}
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, currency=c("USD", "EUR"), futurequotes){
currency <- match.arg(currency)
deposits <- list()
futures <- list()
swaps <- list()
if(missing(futurequotes)) {
for(k in names(MarkitData[2:7])) {
v <- MarkitData[[k]]
if(is.na(v)) {
next
}
deposits[[paste0("d", tolower(k))]] <- v
}
} 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
}
}
for(k in names(MarkitData[8:length(MarkitData)])) {
v <- MarkitData[[k]]
if(is.na(v)) {
next
}
swaps[[paste0("s", tolower(k))]] <- v
}
tsQuotes <- c(deposits, futures, swaps)
return( tsQuotes )
}
exportYC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"), useFutures=FALSE) {
## export the Yield Curve into the environment
currency <- match.arg(currency)
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, currency)
setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
settleDate=tradedate)
settings <- Settings$new()
settings$EvaluationDate <- tradedate
legparams <- switch(currency,
USD = list(fixFreq="Semiannual",
floatFreq="Quarterly",
dayCounter="Thirty360"),
EUR = list(fixFreq="Annual",
floatFreq="Semiannual",
dayCounter="Thirty360"))
cal <- Calendar$new("WeekendsOnly")
dc <- DayCounter$new("Actual365Fixed")
if(exists("futurequotes")) {
tsQuotes <- buildMarkitYC(MarkitData, currency, futurequotes[,2])
} else {
tsQuotes <- buildMarkitYC(MarkitData, currency)
}
YC <<- YieldTermStructure$new("discount", "loglinear", 0L, cal,
dc, tsQuotes, legparams)
}
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