RTL (version 1.0.0)

getIRswapCurve: Morningstar Commodities API single call for IR curves

Description

Extract historical data for tsQuotes in RQuantlib to bootstrap swap curve using Morningstar and FRED as data source.

Usage

getIRswapCurve(
  currency = "USD",
  from = "2019-01-01",
  iuser = "[e-mail]",
  ipassword = "pass"
)

Arguments

currency

Currently only USD LIBOR implemented.

from

From date as character string

iuser

Morningstar user name as character - sourced locally in examples.

ipassword

Morningstar user password as character - sourced locally in examples.

Value

wide data frame

Examples

# NOT RUN {
getIRswapCurve(currency = "USD", from = "2019-08-26", iuser = username, ipassword = password)
# }
# NOT RUN {
# }