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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(root.dir, "/data/Yield Curves"))){
return( xmlToList(file.path(root.dir, "data/Yield Curves", filename.ext)) )
}else{
temp <- tempfile(tmpdir = file.path(root.dir, "/data/Yield Curves"))
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)
unlink(temp)
} else {
cat("downloaded data for:", lastdate,"\n")
close(con)
## we unzip it
unzip(temp, exdir = file.path(root.dir, "/data/Yield Curves"))
unlink(temp)
return( xmlToList(file.path(root.dir, "data/Yield Curves", filename.ext)) )
}
}
}
return( xmlToList(paste(filename,".xml", sep="")) )
}
buildMarkitYC <- function(MarkitData, futurequotes, dt=0.25){
settledate <- as.Date(MarkitData$deposits$spotdate)
params <- list(tradeDate=as.Date(MarkitData$effectiveasof, format="%Y-%m-%d"),
settleDate=settledate,
dt=dt,
interpWhat="discount",
interpHow="loglinear")
short.term <- list()
if(missing(futurequotes)){
short.term <- list(d1m=as.numeric(MarkitData$deposits[5]$curvepoint$parrate),
d3m=as.numeric(MarkitData$deposits[7]$curvepoint$parrate))
}else{
for(i in seq_along(futurequotes)){
short.term[[paste0("fut",i)]] <- futurequotes[i]
}
}
tsQuotes <- c(short.term,
list(
s2y=as.numeric(MarkitData$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 )
}
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