R/getNZDM.R
In rntq472/NZDM: Download Data from the New Zealand Debt Management Website
Defines functions
getNZDM
Documented in
getNZDM
##' Download Data From the NZDM Website.
##'
##' Retrieves data from
##' \url{https://debtmanagement.treasury.govt.nz/investor-resources/data}. This
##' involves downloading spreadsheets and reading them into R.
##'
##' @param x Name of dataset to retrieve. See details below.
##' @param destDir Directory into which the spreadsheet should be downloaded into.
##' Defaults to NULL in which case a temp directory is used.
##' @param quiet Logical passed to download.file.
##' @param webAddress URL where the spreadsheets are kept. Users don't need to change
##' this.
##'
##' @return A data frame (or a list of them if the spreadsheet contained multiple
##' sheets) containing the requested data.
##'
##' @details There are eleven datasets that can be retrieved whose names are listed
##' below:
##'
##' \itemize{
##' \item Government bonds - tender issuance history
##' \item Government Bonds - on issue (history at month end)
##' \item Government Bonds - on issue (at month end)
##' \item Government Bonds - Syndication
##' \item Government bonds - tender history (repurchases)
##' \item Treasury bills - tender history
##' \item Treasury Bills - on issue (at month end)
##' \item Treasury Bills - on issue (history at month end)
##' \item European Commercial Paper - on issue (at month end)
##' \item Inflation-indexed bonds - factors spreadsheet
##' \item Non market issuance - issuance history
##' }
##'
##' There are a number of short-cuts used so that they are easier for the user to
##' specify. Check the code for exact details, but the gist of it is that spaces are
##' removed, letters are converted to lowercase, and certain words are truncated to
##' their initials. This means you can enter the required names in a variety of
##' formats (e.g. "Treasury Bill tender issuance history" is the same as
##' "tbtenderhistory" and hopefully they will be recognised. If in doubt you can
##' enter one of the names listed below.
##'
##' \itemize{
##' \item GB tender history
##' \item GB onissue history
##' \item GB onissue
##' \item GB syndication
##' \item GB repurchases
##' \item TB tender history
##' \item TB onissue
##' \item TB onissue history
##' \item ECP onissue
##' \item IIB factors
##' \item NMI history
##' }
##'
##' @note The author has no affiliation with the NZDM office.
##'
##' @examples
##' \dontrun{
##' dat <- getNZDM('GB tender history')
##' plot(dat$Tender_Date, dat[, 'Wtd.Avg._successful_Yield_(%)'], type = 'l')
##' }
##'
##' @author Jasper Watson
##'
##' @import httr
##' @import readxl
##' @import rvest
##' @import xml2
##' @importFrom utils download.file
##'
##' @export
##'
##
getNZDM <- function(x, destDir = NULL, quiet = TRUE,
webAddress = 'https://debtmanagement.treasury.govt.nz/investor-resources/data'
){
if (is.null(destDir))
destDir <- tempdir()
x <- tolower(gsub(' |\\-', '', x))
x <- gsub('tenderissuance', 'tender', x)
x <- gsub('government', 'g', x)
x <- gsub('govt', 'g', x)
x <- gsub('bonds', 'b', x)
x <- gsub('treasury', 't', x)
x <- gsub('bills', 'b', x)
x <- gsub('european', 'e', x)
x <- gsub('commercial', 'c', x)
x <- gsub('paper', 'p', x)
x <- gsub('inflation', 'i', x)
x <- gsub('indexed', 'i', x)
x <- gsub('non', 'n', x)
x <- gsub('market', 'm', x)
x <- gsub('issuance', 'i', x)
if (grepl('repurchases', x, ignore.case = TRUE))
x <- 'gbrepurchases'
x <- match.arg(x,
choices = c('gbtenderhistory',
'gbonissuehistory',
'gbonissue',
'gbsyndication',
'gbrepurchases',
'tbtenderhistory',
'tbonissue',
'tbonissuehistory',
'ecponissue',
'iibfactors',
'nmihistory'
)
)
Foo <- try({
indexPage <- read_html(webAddress)
})
if (inherits(Foo, 'try-error'))
stop('Could not read ', webAddress)
desc <- switch(x,
'gbtenderhistory' = 'Government bonds - tender issuance history',
'gbonissuehistory' = 'Government Bonds - on issue (history at month end)',
'gbonissue' = 'Government Bonds - on issue (at month end)',
'gbsyndication' = 'Government Bonds - Syndication',
'gbrepurchases' = 'Government bonds - tender history (repurchases)',
'tbtenderhistory' = 'Treasury bills - tender history',
'tbonissue' = 'Treasury Bills - on issue (at month end)',
'tbonissuehistory' = 'Treasury Bills - on issue (history at month end)',
'ecponissue' = 'European Commercial Paper - on issue (at month end)',
'iibfactors' = 'Inflation-indexed bonds - factors spreadsheet ',
'nmihistory' = 'Non market issuance - issuance history'
)
node <- html_elements(indexPage,
xpath = paste0("//*[text()='", desc, "']")
)
url <- html_attr(node, 'href')
destfile <- path.expand(file.path(destDir, basename(url)))
if (!file.exists(destfile) ){
Foo <- try(download.file(url = url,
destfile = destfile,
mode = 'wb',
quiet = quiet
)
)
if (inherits(Foo, 'try-error') || Foo > 0){
stop('Could not download ', url)
}
}
Foo <- try({
sheets <- excel_sheets(destfile)
}, silent = TRUE)
if (inherits(Foo, 'try-error') ){
stop('readxl could not read ', destfile)
}
FUN <- switch(readxl::format_from_ext(destfile),
xls = readxl::read_xls,
xlsx = readxl::read_xlsx
)
skip <- getSkipValue(x, destfile, sheets, FUN)
Foo <- try({
out <- lapply(seq_along(sheets), function(ii){
suppressWarnings(FUN(destfile, sheet = sheets[ii], skip = skip[ii],
.name_repair = 'minimal'))
})
}, silent = TRUE)
if (inherits(Foo, 'try-error') ){
stop('readxl could not read ', destfile)
}
names(out) <- sheets
for (ii in seq_along(out) ){
out[[ii]] <- as.data.frame(out[[ii]], stringsAsFactors = FALSE)
colnames(out[[ii]]) <- gsub('[[:space:]]+', '_', colnames(out[[ii]]))
}
if (length(sheets) == 1)
out <- out[[1]]
##*******
if (x == 'gbtenderhistory'){
} else if (x == 'gbonissuehistory'){
out[['Month_end']] <- out[['Month_end']][, 1:11]
out[['Month_end']] <- out[['Month_end']][!is.na(out[['Month_end']][, 1]) &
!(out[['Month_end']][, 1] %in% '-'), ]
out[['Month_end']][, 'Month_end'] <- as.Date(as.numeric(out[['Month_end']][, 'Month_end']),
origin = '1899-12-30')
tmp <- out[['Month_end']][, 'Maturity_Date']
use <- grepl('^\\d+$', tmp)
aa <- tmp[use]
bb <- tmp[!use]
aa <- as.Date(as.numeric(aa), origin = '1899-12-30')
qwer <- grepl('\\-\\d{2}$', bb)
asdf <- strsplit(bb[qwer], '-', fixed = TRUE)
for (ii in seq_along(asdf))
asdf[[ii]][3] <- paste0('20', asdf[[ii]][3])
bb[qwer] <- sapply(asdf, function(zz){
paste(zz, collapse = '-')
})
bb <- gsub(' ', '-', bb)
bb <- strptime(bb, format = '%d-%b-%Y')
tmp <- rep(Sys.Date(), length(tmp))
tmp[use] <- aa
tmp[!use] <- as.Date(bb)
out[['Month_end']][, 'Maturity_Date'] <- tmp
tmp <- out[['Month_end']][, 'Date_First_Issued']
tmp[tmp == '-'] <- NA
out[['Month_end']][, 'Date_First_Issued'] <- as.Date(strptime(paste0('01/', tmp),
format = '%d/%m/%Y'))
out[['Summary']][, 'Month_end'] <- as.Date(out[['Summary']][, 'Month_end'])
} else if (x == 'gbonissue'){
new.out <- list()
new.out[['On_Issue']] <- out[1:(which(is.na(out[, 1]))[1] - 1), ]
out <- out[-(1:(which(is.na(out[, 1]))[1] - 1)), ]
out <- out[-(1:(which(out[, 1] %in% 'INDEX LINKED BONDS'))), ]
colnames(out) <- unlist(out[1, ])
out <- out[-1, ]
new.out[['IIB']] <- out[1:(which(is.na(out[, 1]))[1] - 1), ]
out <- out[-(1:(which(is.na(out[, 1]))[1] - 1)), ]
out <- out[-(1:(which(out[, 1] %in% 'SUMMARY'))), ]
out <- out[, !is.na(out[1, ])]
colnames(out) <- c('Description', 'Date', 'Value')
new.out[['Summary']] <- out
out <- new.out
for (ii in seq_along(out) ){
colnames(out[[ii]]) <- gsub('[[:space:]]+', '_', colnames(out[[ii]]))
}
out$On_Issue$Date_first_Issued <- strptime(paste0('01/', out$On_Issue$Date_first_Issued),
format = '%d/%m/%Y')
out$On_Issue$Maturity <- as.Date(as.numeric(out$On_Issue$Maturity),
origin = '1899-12-30')
out$IIB$Maturity <- as.Date(as.numeric(out$IIB$Maturity),
origin = '1899-12-30')
out$IIB$Last_Coupon <- as.Date(as.numeric(out$IIB$Last_Coupon),
origin = '1899-12-30')
out$IIB$Next_Coupon <- as.Date(as.numeric(out$IIB$Next_Coupon),
origin = '1899-12-30')
out$Summary[, 'Date'] <- as.Date(as.numeric(out$Summary[, 'Date']),
origin = '1899-12-30')
} else if (x == 'gbsyndication'){
for (cc in c('Asia', 'Australia', 'Europe_UK', 'New_Zealand', 'North_America', 'Other', 'Asset_Manager_Central_Bank', 'Bank_Balance_Sheet', 'Bank_Trading_Book', 'Hedge_Fund'))
out[[1]][[cc]] <- NA
for (ii in grep('^\\d{4}$', sheets) ){
tmp <- rep(Sys.Date(), 3)
tmp[1] <- as.Date(as.numeric(out[[ii]][1, 1]), origin = '1899-12-30')
tmp[2] <- as.Date(as.numeric(out[[ii]][1, 2]), origin = '1899-12-30')
tmp[3] <- out[[ii]][1, 3]
loc <- sapply(1:nrow(out[[1]]), function(z){
oo <- as.Date(c(out[[1]][z, 1], out[[1]][z, 2], out[[1]][z, 3]))
all(oo == tmp)
})
if (sum(loc) == 1){
out[[1]][loc, 'Asia'] <- out[[ii]][grepl('Asia', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Australia'] <- out[[ii]][grepl('Australia', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Europe_UK'] <- out[[ii]][grepl('Europe', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'New_Zealand'] <- out[[ii]][grepl('New.*Zealand', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'North_America'] <- out[[ii]][grepl('North.*America', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Other'] <- out[[ii]][grepl('Other', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Asset_Manager_Central_Bank'] <- out[[ii]][grepl('Asset.*Manager.*Central.*Bank', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Bank_Balance_Sheet'] <- out[[ii]][grepl('Bank.*Balance.*Sheet', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Bank_Trading_Book'] <- out[[ii]][grepl('Bank.*Trading.*Book', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Hedge_Fund'] <- out[[ii]][grepl('Hedge.*Fund', out[[ii]][, 1], ignore.case = TRUE), 2]
}
}
for (ii in grep('^\\d{4}[[:space:]]*Tap$', sheets) ){
tmp <- rep(Sys.Date(), 3)
tmp[1] <- as.Date(as.numeric(out[[ii]][1, 1]), origin = '1899-12-30')
tmp[2] <- as.Date(as.numeric(out[[ii]][1, 2]), origin = '1899-12-30')
tmp[3] <- out[[ii]][1, 3]
loc <- sapply(1:nrow(out[[2]]), function(z){
oo <- as.Date(c(out[[2]][z, 1], out[[2]][z, 2], out[[2]][z, 3]))
all(oo == tmp)
})
if (sum(loc) == 1){
out[[2]][loc, 'Asia'] <- out[[ii]][grepl('Asia', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Australia'] <- out[[ii]][grepl('Australia', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Europe_UK'] <- out[[ii]][grepl('Europe', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'New_Zealand'] <- out[[ii]][grepl('New.*Zealand', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'North_America'] <- out[[ii]][grepl('North.*America', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Other'] <- out[[ii]][grepl('Other', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Asset_Manager_Central_Bank'] <- out[[ii]][grepl('Asset.*Manager.*Central.*Bank', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Bank_Balance_Sheet'] <- out[[ii]][grepl('Bank.*Balance.*Sheet', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Bank_Trading_Book'] <- out[[ii]][grepl('Bank.*Trading.*Book', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Hedge_Fund'] <- out[[ii]][grepl('Hedge.*Fund', out[[ii]][, 1], ignore.case = TRUE), 2]
}
}
out <- out[1:2]
} else if (x == 'gbrepurchases'){
} else if (x == 'tbtenderhistory'){
} else if (x == 'tbonissue'){
tmp <- which(!is.na(out$Maturity))[1]
if (tmp > 1)
out <- out[-(seq_len(tmp - 1)), ]
} else if (x == 'tbonissuehistory'){
out[['Month_end']] <- out[['Month_end']][!is.na(out[['Month_end']][, 1]) & !(out[['Month_end']][, 1] %in% '-'), ]
tmp <- out[['Month_end']][, 'Month_End']
use <- grepl('^\\d+$', tmp)
aa <- tmp[use]
bb <- tmp[!use]
aa <- as.Date(as.numeric(aa), origin = '1899-12-30')
qwer <- grepl('\\-\\d{2}$', bb)
asdf <- strsplit(bb[qwer], '-', fixed = TRUE)
for (ii in seq_along(asdf))
asdf[[ii]][3] <- paste0('20', asdf[[ii]][3])
bb[qwer] <- sapply(asdf, function(zz){
paste(zz, collapse = '-')
})
bb <- gsub(' ', '-', bb)
bb <- strptime(bb, format = '%d-%b-%Y')
tmp <- rep(Sys.Date(), length(tmp))
tmp[use] <- aa
tmp[!use] <- as.Date(bb)
out[['Month_end']][, 'Month_End'] <- tmp
##
tmp <- out[['Month_end']][, 'Maturity']
use <- grepl('^\\d+$', tmp)
aa <- tmp[use]
bb <- tmp[!use]
aa <- as.Date(as.numeric(aa), origin = '1899-12-30')
qwer <- grepl('\\-\\d{2}$', bb)
asdf <- strsplit(bb[qwer], '-', fixed = TRUE)
for (ii in seq_along(asdf))
asdf[[ii]][3] <- paste0('20', asdf[[ii]][3])
bb[qwer] <- sapply(asdf, function(zz){
paste(zz, collapse = '-')
})
bb <- gsub(' ', '-', bb)
bb <- strptime(bb, format = '%d-%b-%Y')
tmp <- rep(Sys.Date(), length(tmp))
tmp[use] <- aa
tmp[!use] <- as.Date(bb)
out[['Month_end']][, 'Maturity'] <- tmp
} else if (x == 'ecponissue'){
out <- out[!is.na(out[, 2]), ]
out[, 'Month_End'] <- as.Date(as.numeric(out[, 'Month_End']),
origin = '1899-12-30')
} else if (x == 'iibfactors'){
for (ii in seq_along(out) ){
out[[ii]]$Bond <- gsub('[[:space:]]*IIB[[:space:]]*Factors', '', sheets[ii])
out[[ii]] <- out[[ii]][, c(4, 1:3)]
}
out <- do.call(rbind.data.frame, out)
sheets <- sheets[1]
} else if (x == 'nmihistory'){
colnames(out) <- c('Settlement_Date', 'Maturity_Date', 'Instrument_Type',
'Institution', 'Amount_(Millions)')
out <- out[!is.na(out[, 1]), ]
}
if (length(sheets) == 1){
rownames(out) <- NULL
} else {
for (ii in seq_along(out))
rownames(out[[ii]]) <- NULL
}
out
}
rntq472/NZDM documentation built on Dec. 22, 2021, 5:11 p.m.
R Package Documentation
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Defines functions getNZDM
Documented in getNZDM
##' Download Data From the NZDM Website.
##'
##' Retrieves data from
##' \url{https://debtmanagement.treasury.govt.nz/investor-resources/data}. This
##' involves downloading spreadsheets and reading them into R.
##'
##' @param x Name of dataset to retrieve. See details below.
##' @param destDir Directory into which the spreadsheet should be downloaded into.
##' Defaults to NULL in which case a temp directory is used.
##' @param quiet Logical passed to download.file.
##' @param webAddress URL where the spreadsheets are kept. Users don't need to change
##' this.
##'
##' @return A data frame (or a list of them if the spreadsheet contained multiple
##' sheets) containing the requested data.
##'
##' @details There are eleven datasets that can be retrieved whose names are listed
##' below:
##'
##' \itemize{
##' \item Government bonds - tender issuance history
##' \item Government Bonds - on issue (history at month end)
##' \item Government Bonds - on issue (at month end)
##' \item Government Bonds - Syndication
##' \item Government bonds - tender history (repurchases)
##' \item Treasury bills - tender history
##' \item Treasury Bills - on issue (at month end)
##' \item Treasury Bills - on issue (history at month end)
##' \item European Commercial Paper - on issue (at month end)
##' \item Inflation-indexed bonds - factors spreadsheet
##' \item Non market issuance - issuance history
##' }
##'
##' There are a number of short-cuts used so that they are easier for the user to
##' specify. Check the code for exact details, but the gist of it is that spaces are
##' removed, letters are converted to lowercase, and certain words are truncated to
##' their initials. This means you can enter the required names in a variety of
##' formats (e.g. "Treasury Bill tender issuance history" is the same as
##' "tbtenderhistory" and hopefully they will be recognised. If in doubt you can
##' enter one of the names listed below.
##'
##' \itemize{
##' \item GB tender history
##' \item GB onissue history
##' \item GB onissue
##' \item GB syndication
##' \item GB repurchases
##' \item TB tender history
##' \item TB onissue
##' \item TB onissue history
##' \item ECP onissue
##' \item IIB factors
##' \item NMI history
##' }
##'
##' @note The author has no affiliation with the NZDM office.
##'
##' @examples
##' \dontrun{
##' dat <- getNZDM('GB tender history')
##' plot(dat$Tender_Date, dat[, 'Wtd.Avg._successful_Yield_(%)'], type = 'l')
##' }
##'
##' @author Jasper Watson
##'
##' @import httr
##' @import readxl
##' @import rvest
##' @import xml2
##' @importFrom utils download.file
##'
##' @export
##'
##
getNZDM <- function(x, destDir = NULL, quiet = TRUE,
webAddress = 'https://debtmanagement.treasury.govt.nz/investor-resources/data'
){
if (is.null(destDir))
destDir <- tempdir()
x <- tolower(gsub(' |\\-', '', x))
x <- gsub('tenderissuance', 'tender', x)
x <- gsub('government', 'g', x)
x <- gsub('govt', 'g', x)
x <- gsub('bonds', 'b', x)
x <- gsub('treasury', 't', x)
x <- gsub('bills', 'b', x)
x <- gsub('european', 'e', x)
x <- gsub('commercial', 'c', x)
x <- gsub('paper', 'p', x)
x <- gsub('inflation', 'i', x)
x <- gsub('indexed', 'i', x)
x <- gsub('non', 'n', x)
x <- gsub('market', 'm', x)
x <- gsub('issuance', 'i', x)
if (grepl('repurchases', x, ignore.case = TRUE))
x <- 'gbrepurchases'
x <- match.arg(x,
choices = c('gbtenderhistory',
'gbonissuehistory',
'gbonissue',
'gbsyndication',
'gbrepurchases',
'tbtenderhistory',
'tbonissue',
'tbonissuehistory',
'ecponissue',
'iibfactors',
'nmihistory'
)
)
Foo <- try({
indexPage <- read_html(webAddress)
})
if (inherits(Foo, 'try-error'))
stop('Could not read ', webAddress)
desc <- switch(x,
'gbtenderhistory' = 'Government bonds - tender issuance history',
'gbonissuehistory' = 'Government Bonds - on issue (history at month end)',
'gbonissue' = 'Government Bonds - on issue (at month end)',
'gbsyndication' = 'Government Bonds - Syndication',
'gbrepurchases' = 'Government bonds - tender history (repurchases)',
'tbtenderhistory' = 'Treasury bills - tender history',
'tbonissue' = 'Treasury Bills - on issue (at month end)',
'tbonissuehistory' = 'Treasury Bills - on issue (history at month end)',
'ecponissue' = 'European Commercial Paper - on issue (at month end)',
'iibfactors' = 'Inflation-indexed bonds - factors spreadsheet ',
'nmihistory' = 'Non market issuance - issuance history'
)
node <- html_elements(indexPage,
xpath = paste0("//*[text()='", desc, "']")
)
url <- html_attr(node, 'href')
destfile <- path.expand(file.path(destDir, basename(url)))
if (!file.exists(destfile) ){
Foo <- try(download.file(url = url,
destfile = destfile,
mode = 'wb',
quiet = quiet
)
)
if (inherits(Foo, 'try-error') || Foo > 0){
stop('Could not download ', url)
}
}
Foo <- try({
sheets <- excel_sheets(destfile)
}, silent = TRUE)
if (inherits(Foo, 'try-error') ){
stop('readxl could not read ', destfile)
}
FUN <- switch(readxl::format_from_ext(destfile),
xls = readxl::read_xls,
xlsx = readxl::read_xlsx
)
skip <- getSkipValue(x, destfile, sheets, FUN)
Foo <- try({
out <- lapply(seq_along(sheets), function(ii){
suppressWarnings(FUN(destfile, sheet = sheets[ii], skip = skip[ii],
.name_repair = 'minimal'))
})
}, silent = TRUE)
if (inherits(Foo, 'try-error') ){
stop('readxl could not read ', destfile)
}
names(out) <- sheets
for (ii in seq_along(out) ){
out[[ii]] <- as.data.frame(out[[ii]], stringsAsFactors = FALSE)
colnames(out[[ii]]) <- gsub('[[:space:]]+', '_', colnames(out[[ii]]))
}
if (length(sheets) == 1)
out <- out[[1]]
##*******
if (x == 'gbtenderhistory'){
} else if (x == 'gbonissuehistory'){
out[['Month_end']] <- out[['Month_end']][, 1:11]
out[['Month_end']] <- out[['Month_end']][!is.na(out[['Month_end']][, 1]) &
!(out[['Month_end']][, 1] %in% '-'), ]
out[['Month_end']][, 'Month_end'] <- as.Date(as.numeric(out[['Month_end']][, 'Month_end']),
origin = '1899-12-30')
tmp <- out[['Month_end']][, 'Maturity_Date']
use <- grepl('^\\d+$', tmp)
aa <- tmp[use]
bb <- tmp[!use]
aa <- as.Date(as.numeric(aa), origin = '1899-12-30')
qwer <- grepl('\\-\\d{2}$', bb)
asdf <- strsplit(bb[qwer], '-', fixed = TRUE)
for (ii in seq_along(asdf))
asdf[[ii]][3] <- paste0('20', asdf[[ii]][3])
bb[qwer] <- sapply(asdf, function(zz){
paste(zz, collapse = '-')
})
bb <- gsub(' ', '-', bb)
bb <- strptime(bb, format = '%d-%b-%Y')
tmp <- rep(Sys.Date(), length(tmp))
tmp[use] <- aa
tmp[!use] <- as.Date(bb)
out[['Month_end']][, 'Maturity_Date'] <- tmp
tmp <- out[['Month_end']][, 'Date_First_Issued']
tmp[tmp == '-'] <- NA
out[['Month_end']][, 'Date_First_Issued'] <- as.Date(strptime(paste0('01/', tmp),
format = '%d/%m/%Y'))
out[['Summary']][, 'Month_end'] <- as.Date(out[['Summary']][, 'Month_end'])
} else if (x == 'gbonissue'){
new.out <- list()
new.out[['On_Issue']] <- out[1:(which(is.na(out[, 1]))[1] - 1), ]
out <- out[-(1:(which(is.na(out[, 1]))[1] - 1)), ]
out <- out[-(1:(which(out[, 1] %in% 'INDEX LINKED BONDS'))), ]
colnames(out) <- unlist(out[1, ])
out <- out[-1, ]
new.out[['IIB']] <- out[1:(which(is.na(out[, 1]))[1] - 1), ]
out <- out[-(1:(which(is.na(out[, 1]))[1] - 1)), ]
out <- out[-(1:(which(out[, 1] %in% 'SUMMARY'))), ]
out <- out[, !is.na(out[1, ])]
colnames(out) <- c('Description', 'Date', 'Value')
new.out[['Summary']] <- out
out <- new.out
for (ii in seq_along(out) ){
colnames(out[[ii]]) <- gsub('[[:space:]]+', '_', colnames(out[[ii]]))
}
out$On_Issue$Date_first_Issued <- strptime(paste0('01/', out$On_Issue$Date_first_Issued),
format = '%d/%m/%Y')
out$On_Issue$Maturity <- as.Date(as.numeric(out$On_Issue$Maturity),
origin = '1899-12-30')
out$IIB$Maturity <- as.Date(as.numeric(out$IIB$Maturity),
origin = '1899-12-30')
out$IIB$Last_Coupon <- as.Date(as.numeric(out$IIB$Last_Coupon),
origin = '1899-12-30')
out$IIB$Next_Coupon <- as.Date(as.numeric(out$IIB$Next_Coupon),
origin = '1899-12-30')
out$Summary[, 'Date'] <- as.Date(as.numeric(out$Summary[, 'Date']),
origin = '1899-12-30')
} else if (x == 'gbsyndication'){
for (cc in c('Asia', 'Australia', 'Europe_UK', 'New_Zealand', 'North_America', 'Other', 'Asset_Manager_Central_Bank', 'Bank_Balance_Sheet', 'Bank_Trading_Book', 'Hedge_Fund'))
out[[1]][[cc]] <- NA
for (ii in grep('^\\d{4}$', sheets) ){
tmp <- rep(Sys.Date(), 3)
tmp[1] <- as.Date(as.numeric(out[[ii]][1, 1]), origin = '1899-12-30')
tmp[2] <- as.Date(as.numeric(out[[ii]][1, 2]), origin = '1899-12-30')
tmp[3] <- out[[ii]][1, 3]
loc <- sapply(1:nrow(out[[1]]), function(z){
oo <- as.Date(c(out[[1]][z, 1], out[[1]][z, 2], out[[1]][z, 3]))
all(oo == tmp)
})
if (sum(loc) == 1){
out[[1]][loc, 'Asia'] <- out[[ii]][grepl('Asia', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Australia'] <- out[[ii]][grepl('Australia', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Europe_UK'] <- out[[ii]][grepl('Europe', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'New_Zealand'] <- out[[ii]][grepl('New.*Zealand', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'North_America'] <- out[[ii]][grepl('North.*America', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Other'] <- out[[ii]][grepl('Other', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Asset_Manager_Central_Bank'] <- out[[ii]][grepl('Asset.*Manager.*Central.*Bank', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Bank_Balance_Sheet'] <- out[[ii]][grepl('Bank.*Balance.*Sheet', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Bank_Trading_Book'] <- out[[ii]][grepl('Bank.*Trading.*Book', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[1]][loc, 'Hedge_Fund'] <- out[[ii]][grepl('Hedge.*Fund', out[[ii]][, 1], ignore.case = TRUE), 2]
}
}
for (ii in grep('^\\d{4}[[:space:]]*Tap$', sheets) ){
tmp <- rep(Sys.Date(), 3)
tmp[1] <- as.Date(as.numeric(out[[ii]][1, 1]), origin = '1899-12-30')
tmp[2] <- as.Date(as.numeric(out[[ii]][1, 2]), origin = '1899-12-30')
tmp[3] <- out[[ii]][1, 3]
loc <- sapply(1:nrow(out[[2]]), function(z){
oo <- as.Date(c(out[[2]][z, 1], out[[2]][z, 2], out[[2]][z, 3]))
all(oo == tmp)
})
if (sum(loc) == 1){
out[[2]][loc, 'Asia'] <- out[[ii]][grepl('Asia', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Australia'] <- out[[ii]][grepl('Australia', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Europe_UK'] <- out[[ii]][grepl('Europe', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'New_Zealand'] <- out[[ii]][grepl('New.*Zealand', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'North_America'] <- out[[ii]][grepl('North.*America', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Other'] <- out[[ii]][grepl('Other', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Asset_Manager_Central_Bank'] <- out[[ii]][grepl('Asset.*Manager.*Central.*Bank', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Bank_Balance_Sheet'] <- out[[ii]][grepl('Bank.*Balance.*Sheet', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Bank_Trading_Book'] <- out[[ii]][grepl('Bank.*Trading.*Book', out[[ii]][, 1], ignore.case = TRUE), 2]
out[[2]][loc, 'Hedge_Fund'] <- out[[ii]][grepl('Hedge.*Fund', out[[ii]][, 1], ignore.case = TRUE), 2]
}
}
out <- out[1:2]
} else if (x == 'gbrepurchases'){
} else if (x == 'tbtenderhistory'){
} else if (x == 'tbonissue'){
tmp <- which(!is.na(out$Maturity))[1]
if (tmp > 1)
out <- out[-(seq_len(tmp - 1)), ]
} else if (x == 'tbonissuehistory'){
out[['Month_end']] <- out[['Month_end']][!is.na(out[['Month_end']][, 1]) & !(out[['Month_end']][, 1] %in% '-'), ]
tmp <- out[['Month_end']][, 'Month_End']
use <- grepl('^\\d+$', tmp)
aa <- tmp[use]
bb <- tmp[!use]
aa <- as.Date(as.numeric(aa), origin = '1899-12-30')
qwer <- grepl('\\-\\d{2}$', bb)
asdf <- strsplit(bb[qwer], '-', fixed = TRUE)
for (ii in seq_along(asdf))
asdf[[ii]][3] <- paste0('20', asdf[[ii]][3])
bb[qwer] <- sapply(asdf, function(zz){
paste(zz, collapse = '-')
})
bb <- gsub(' ', '-', bb)
bb <- strptime(bb, format = '%d-%b-%Y')
tmp <- rep(Sys.Date(), length(tmp))
tmp[use] <- aa
tmp[!use] <- as.Date(bb)
out[['Month_end']][, 'Month_End'] <- tmp
##
tmp <- out[['Month_end']][, 'Maturity']
use <- grepl('^\\d+$', tmp)
aa <- tmp[use]
bb <- tmp[!use]
aa <- as.Date(as.numeric(aa), origin = '1899-12-30')
qwer <- grepl('\\-\\d{2}$', bb)
asdf <- strsplit(bb[qwer], '-', fixed = TRUE)
for (ii in seq_along(asdf))
asdf[[ii]][3] <- paste0('20', asdf[[ii]][3])
bb[qwer] <- sapply(asdf, function(zz){
paste(zz, collapse = '-')
})
bb <- gsub(' ', '-', bb)
bb <- strptime(bb, format = '%d-%b-%Y')
tmp <- rep(Sys.Date(), length(tmp))
tmp[use] <- aa
tmp[!use] <- as.Date(bb)
out[['Month_end']][, 'Maturity'] <- tmp
} else if (x == 'ecponissue'){
out <- out[!is.na(out[, 2]), ]
out[, 'Month_End'] <- as.Date(as.numeric(out[, 'Month_End']),
origin = '1899-12-30')
} else if (x == 'iibfactors'){
for (ii in seq_along(out) ){
out[[ii]]$Bond <- gsub('[[:space:]]*IIB[[:space:]]*Factors', '', sheets[ii])
out[[ii]] <- out[[ii]][, c(4, 1:3)]
}
out <- do.call(rbind.data.frame, out)
sheets <- sheets[1]
} else if (x == 'nmihistory'){
colnames(out) <- c('Settlement_Date', 'Maturity_Date', 'Instrument_Type',
'Institution', 'Amount_(Millions)')
out <- out[!is.na(out[, 1]), ]
}
if (length(sheets) == 1){
rownames(out) <- NULL
} else {
for (ii in seq_along(out))
rownames(out[[ii]]) <- NULL
}
out
}
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