Description Format Details Source Examples
This data frame is created by build.rates
in CDS
package to calculate the
CDS pricing. It covers three currencies: USD, EUR, and JPY. The interest rates date from
2004-01-01 to 2014-08-23. Rates on holidays and weekends are available as well as business
days.
A data frame with 175058 observations on the following 4 variables.
date = a date (Date object)
currency = a character containing USD
EUR
JPY
expiry = a character containing 1M
2M
3M
6M
9M
1Y
2Y
3Y
4Y
5Y
6Y
7Y
8Y
9Y
10Y
12Y
15Y
20Y
30Y
rate = a numeric vector. The LIBOR rate.
The source of the interest rates in rates.RData
is from
https://www.markit.com/ and http://research.stlouisfed.org/fred2/.
When a user is calculating CDS using the CDS
package, the package calls
get.rates
to get the needed interest rates; get.rates
then calls the
rates.RData
for these interest rates. If a date is unavailable in rates.RData
,
then the package calls other functions to get the needed interest rates from the internet.
The rates.RData
is created and stored in the package for the users' convenience:
getting interest rates from the Internet may fail due to the internet connection problem
and may be very slow. Also, the user can build its own updated local rates.RData
by
using build.rates
. For more explanation on the usage of build.rates
, please
see See Also.
Also, please notice that in the rates.RData
, the rate
is not the interest
rate on the date
listed in the same row as the rate
. For example, in the
first row, the rate
is 0.001550; the date
in that row is 2014-08-21. But
this does not mean that on 2014-08-21, the interest rate is 0.001550; instead, 0.001550 is
the interest rate on 2014-08-20. This regulation of using the interest rate on the previous
business day of CDS trading date is set by ISDA Standard Model. The Model says that, if a
trader buy a CDS on 2014-08-21, then when calculating the pricing of the CDS, she should
use the interest rate of 2014-08-20, which is 0.001550. This may be confusing for people
who are yet unfamiliar with CDS. We design rates.RData
in this way because it is
easier for other functions in the CDS
package to use this data frame for
calculation.
rates.RData
covers holidays, weekend and business days. As is set by ISDA Standard
Model and introduced above, we use the previous business day's interest rate for CDS
pricing on a certain trading date. Therefore, if the user is buying a CDS on Saturday, she
should use the interest rate of last Friday; if she is buying a CDS on Sunday or Monday,
she should still use the interest rate of last Friday, because last Friday is the previous
business day of the CDS trading date. When it comes to holidays, we still choose the
previous business day for interest rate. For example, if a trader is buying a CDS on
2014-07-05, then she should use the interest rate of 2014-07-03, because 2014-07-04 is a
national holiday and 2014-07-03 is the previous business day of trading date.
Also, please notice that in rates.RData
, a currency's type of expiries generally
stays the same along the time, but not always. For example, we check the expiry type of
USD in rates.RData
: for 2004-01-01, there are two types of expirty: 1M, 3Y; for
2006-01-01, there are five types of expiry: 1M, 2M, 3M, 6M, 1Y; for 2007-01-01, there are
18 types of expiry; for 2014-01-01, there are 19 types of expiry. Therefore, for a trader,
she should always keep in mind to update her knowledge of the expiry types of her trading
currency. For different currencies, the types of expiries are often different.
Finally, please notice that some of the data are missing for a certain expiry of a
currency in a short time. For example, some dates in rates.RData
do not have a
expiry
of 3Y for USD
. This is not likely to be caused by data error,
since all these data are got from Markit and FRED. Users, however, should be aware of that
some data seem "missing".
https://www.markit.com/ http://research.stlouisfed.org/fred2/
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