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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, "OIS", "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) {
oisswaps <- list()
for(k in names(MarkitData[2:length(MarkitData)])) {
v <- MarkitData[[k]]
oisswaps[[paste0("ois", tolower(k))]] <- v
}
return( oisswaps )
}
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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