In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

  require(BondLab)
  require(lubridate)
  require(RCurl)
  require(XML)


  GetSwapCurve <- function(CurveDate,
                           APIKey = "31df8645e635484db99e5d1133ce9245"){
    rates <- list("USD1MTD156N", 
                  "USD3MTD156N", 
                  "USD6MTD156N",
                  "USD12MD156N",
                  "DSWP2", 
                  "DSWP3", 
                  "DSWP4", 
                  "DSWP5",
                  "DSWP7", 
                  "DSWP10", 
                  "DSWP30")

  SwapData <- matrix(data = NA, nrow = 1, ncol = 12)
  colnames(SwapData) <- c("Date", 
                          "ED1M", 
                          "ED3M", 
                          "ED6M", 
                          "USSW1", 
                          "USSW2", 
                          "USSW3", 
                          "USSW4", 
                          "USSW5", 
                          "USSW7", 
                          "USSW10", 
                          "USSW30")

  startdate <- as.character(as.Date(
    as.character(CurveDate), format = "%m-%d-%Y") + days(0))
  enddate <- as.character(
    as.Date(as.character(CurveDate), format = "%m-%d-%Y"))
  SwapData[1,1] = startdate 

  for(i in 1:11){

    LIBORRate <- getURL(
      paste("https://api.stlouisfed.org/fred/series/observations?series_id=",
            as.character(rates[i]),
            "&observation_start=", startdate,
            "&observation_end=", enddate, 
            "&api_key=", APIKey,
            "&file_type=xml", sep =""))
    doc = xmlParse(LIBORRate)
    RateValue <- as.numeric(
      xpathSApply(doc, "//observation", xmlGetAttr, "value"))
    SwapData[1,as.numeric(i) +1] = RateValue}

  write.csv(SwapData,
            paste0('~/Documents/FabozziModel/', CurveDate, '.csv'), 
            row.names = FALSE)
  }

Create a list of month end dates between July 2000 and September 2016

month =  seq(as.Date('2000-07-01'), as.Date('2016-11-01'), by = 'month')
load_rmetrics_calendars(seq(2000, 2016, 1))
curvedate = adjust.next(month, 'Rmetrics/NYSE')

  curvedate = as.character(as.Date(curvedate), format = '%m-%d-%Y')
for(month in seq_along(curvedate)){

  if(is.null(
    tryCatch(GetSwapCurve(curvedate[month])
           ,error = function(e) return(NULL))) == TRUE) next
}

  SwapRateCurve <- function(datafile = "character", maturityvector = numeric()){
  # Note: maturityvector must start with an empty space e.g. c("", 1, 2, )  
  #========== Read Swap Rate Data ===========================
  SwapRateData <-read.csv(datafile, header = TRUE, as.is = TRUE)
  #======== remove month and year data and reorder dataset
  RowCount = nrow(SwapRateData)
  ColCount = ncol(SwapRateData)

  for(i in 1:RowCount) {
    if(SwapRateData[i,ColCount] != "ND") {data = SwapRateData[i,]
    data <- rbind(data, as.numeric(maturityvector))

    saveRDS(data, paste('~/Documents/FabozziModel/', 
      as.character(data[1,1]), ".rds", sep = ""), compress = TRUE)}}
  }

  files = list.files(path ='~/Documents/FabozziModel/', pattern = '[0-9].csv')
  maturity <- c("",.0833, .25, .5, 1, 2, 3, 4, 5, 7, 10, 30)
  for(file in seq_along(files)){
  tryCatch(SwapRateCurve(datafile = paste0('~/Documents/FabozziModel/',files[file]), 
      maturityvector = maturity), error = function(e) return(NULL))
  }

glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.