R/rates.R

In davidkane9/creditrISDA: R Wrapper for ISDA CDS Standard Model for Evaluating Credit Default Swaps

#' LIBOR rates from 2004-01-01 to 2014-08-23
#' 
#' This data frame is created by \code{build.rates} in \code{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. 
#' 
#' @format A data frame with 175058 observations on the following 4 variables.
#' \itemize{
#'    \item date = a date (Date object)
#'    \item currency = a character containing \code{USD} \code{EUR} \code{JPY}
#'    \item expiry = a character containing \code{1M} \code{2M} \code{3M} \code{6M} \code{9M} 
#'    \code{1Y} \code{2Y} \code{3Y} \code{4Y} \code{5Y} \code{6Y} \code{7Y} \code{8Y} 
#'    \code{9Y} \code{10Y} \code{12Y} \code{15Y} \code{20Y} \code{30Y}
#'    \item rate = a numeric vector. The LIBOR rate.
#' }
#' @details 
#' The source of the interest rates in \code{rates.RData} is from 
#' \url{https://www.markit.com/} and \url{http://research.stlouisfed.org/fred2/}. 
#' When a user is calculating CDS using the \code{CDS} package, the package calls 
#' \code{get.rates} to get the needed interest rates; \code{get.rates} then calls the 
#' \code{rates.RData} for these interest rates. If a date is unavailable in \code{rates.RData}, 
#' then the package calls other functions to get the needed interest rates from the internet. 
#' The \code{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 \code{rates.RData} by 
#' using \code{build.rates}. For more explanation on the usage of \code{build.rates}, please 
#' see \bold{See Also}.
#' 
#' Also, please notice that in the \code{rates.RData}, the \code{rate} is not the interest 
#' rate on the \code{date} listed in the same row as the \code{rate}. For example, in the 
#' first row, the \code{rate} is 0.001550; the \code{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 \code{rates.RData} in this way because it is 
#' easier for other functions in the \code{CDS} package to use this data frame for 
#' calculation.
#' 
#' \code{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 \code{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 \code{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 \code{rates.RData} do not have a 
#' \code{expiry} of 3Y for \code{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".
#'
#' @source \url{https://www.markit.com/} \url{http://research.stlouisfed.org/fred2/}
#'
#' @examples 
#' data(rates)
#' 
#' ## for JPY rates: 
#' rates[rates$currency == "JPY",]
#' 
#" ## for rates on a specific date, of a specific currency:
#' rates[rates$currency == "USD" & rates$date == "2005-10-01",]
#'
#' @docType data
#' @name rates
#' @keywords datasets, interest rates
NULL
#> NULL