download.markit: Get rates from Markit

In Yuanchu/creditr: Credit Default Swap

Description

download.markit takes a data frame of dates and returns a data frame with the yields for different maturities.

Usage

download.markit(start, end, currency = "USD")

Arguments

start	date for gathering interest rates. Must be a Date type
end	date for gathering interest rates. Must be a Date type
currency	for which rates are being retrieved

Value

data frame containing the rates from every day from start to end dates. Note: the date in the output data frame does not refer to the rates of that day but to the date on which the CDS is being priced. So the corresponding rate is actually the rate of the previous day. Example: if the column reads 2014-04-22, the corresponding rates are actually for 2014-04-21.

See Also

download.FRED build.rates

Examples

## Not run: 
download.markit(start = as.Date("2005-12-31"), end = as.Date("2006-01-04"),
                currency = "JPY")

## End(Not run)

Yuanchu/creditr documentation built on May 10, 2019, 1:11 a.m.