Functions for R

FX_Download.r

FX.HistData <- function(pair = "EURUSD", period = "day") {
  ##### Arguments verification Valid pairs to download
  pairs.valid <- c("AUDJPY", "AUDUSD", "CHFJPY", "EURCHF", "EURGBP", "EURJPY", "EURUSD", "GBPCHF", "GBPJPY", "GBPUSD", "NZDUSD", "USDCAD", "USDCHF", "USDJPY", "XAGUSD", "XAUUSD")
  # Valid download periods
  period.valid <- c("day", "hour")
  # Create set of warnings
  error.string <- c()
  # Check if it is a valid pair, if not store a warning
  if (pair %in% pairs.valid){valid.pair = TRUE} else {
    valid.pair = FALSE
    error.string <- c(error.string, "Not a valid FX pair.")
  }
  # Check if it is a valid period, if not store a warning
  if (period %in% period.valid){valid.period <- TRUE} else {
    valid.period <- FALSE
    error.string <- c(error.string, "Not a valid period")
  }
  ##### Main algorithm If all conditions are true download data
  if (valid.pair == TRUE && valid.period == TRUE) {
    # Download link
    urlFX<-paste('http://www.fxhistoricaldata.com/download/',pair,'?t=',period,sep = '')
    # Temporal storage
    tFile <- tempfile()
    # Download zip file
    download.file(urlFX,tFile, mode="wb")
    # CSV file name
    fxPair.csv <- unzip(tFile, list=TRUE)$Name[1]
    # 
    unzip(tFile, fxPair.csv)
    pair.data <- read.table(fxPair.csv, sep=",", header=T)
    pair.data <- pair.data[,-3]
    pair.data.h <- c('Ticker','Date','Open', 'Low', 'High', "Close")
    names(pair.data) <- pair.data.h
    pair.data$Date <- as.Date(as.character(pair.data$Date), format = "%Y%m%d")
    pair.data <- xts(x = pair.data$Close, order.by = pair.data$Date)
    names(pair.data) <- c(pair)
    return(pair.data)
  } else {
    print(error.string)
  }
}

Get_BVL.r

getBVL <- function(ticker, date1 = Sys.Date() - 380, date2 = Sys.Date() - 10) {
    # Format dates
    date1 <- format(date1, "%Y%m%d")
    date2 <- format(date2, "%Y%m%d")
    # Define url with dates and ticker
    urlPrices <- paste("http://www.bvl.com.pe/jsp/cotizacion.jsp?fec_inicio=", date1, 
        "&fec_fin=", date2, "&nemonico=", ticker, sep = "")
    hPrice <- html(urlPrices)
    # Extract and clean table
    tPrice <- data.frame(hPrice %>% html_table())
    # Remove faulty columns
    tPrice <- tPrice[-1, c(-9, -10)]
    names(tPrice) <- c("Date", "Open", "Close", "Max", "Min", "Average", "Ammount", 
        "Volume")
    # Return table
    return(tPrice)
}

Get_Links.r

getLinks <- function(URL) {
  getLinks <- function() {
    links <- character()
    list(a = function(node, ...) {
      links <<- c(links, xmlGetAttr(node, "href"))
      node
    }, links = function() links)
  }
  h1 <- getLinks()
  htmlTreeParse(URL, handlers = h1)
  h1$links()
}

GetBondCoupon.R

GetBondCoupon <- function(bond.tickers){
  temp.pattern <- '^[A-Z]+ ([^A-Z]+) [^ ]+$'
  temp.coupons <- sub(temp.pattern, '\\1',bond.tickers)
  unname(sapply(sub(' ', '+', temp.coupons), function(x) eval(parse(text=x))))
}

GetBondMaturity.R

GetBondMaturity <- function(bond.ticker) {
  temp.mat <- c()
  for (i in 1:length(bond.ticker)) {
    temp.len <- nchar(bond.ticker[i])
    temp.date <- substr(bond.ticker, temp.len - 7, temp.len)
    temp.mat <- c(temp.mat, as.Date(temp.date, "%m/%d/%y"))
  }
  return(as.Date(temp.mat, origin = "1970-1-1"))
}

Matlab_Time.r

# Filename: matlab_time.R
# Convert between MATLAB datenum values and R POSIXt time values.
# 
# Author: Luke Miller   Feb 20, 2011
###############################################################################

#Convert a numeric  MATLAB datenum (days since 0000-1-1 00:00) to seconds in 
#the Unix epoch (seconds since 1970-1-1 00:00). Specify a time zone if the 
#input datenum is anything other than the GMT/UTC time zone. 
matlab2POS = function(x, timez = "UTC") {
  days = x - 719529 	# 719529 = days from 1-1-0000 to 1-1-1970
  secs = days * 86400 # 86400 seconds in a day
  # This next string of functions is a complete disaster, but it works.
  # It tries to outsmart R by converting the secs value to a POSIXct value
  # in the UTC time zone, then converts that to a time/date string that 
  # should lose the time zone, and then it performs a second as.POSIXct()
  # conversion on the time/date string to get a POSIXct value in the user's 
  # specified timezone. Time zones are a goddamned nightmare.
  return(as.POSIXct(strftime(as.POSIXct(secs, origin = '1970-1-1', 
                                        tz = 'UTC'), format = '%Y-%m-%d %H:%M', 
                             tz = 'UTC', usetz = FALSE), tz = timez))
}


###############################################################################
#Convert POSIXct, POSIXlt or 'seconds since 1970-1-1' to MATLAB datenum value.
#The conversion drops any time zone associated with the POSIXt value. It is the
#user's responsibility to keep track of time zones in MATLAB datenums.
#The constant 719529 in the function is the days from 0000-1-1 to 1970-1-1.
POSIXt2matlab = function(x) {
  if (class(x)[1] == "POSIXlt"){
    days = as.numeric(as.Date(x)) #extract days since 1970-1-1
    frac.day = (((x$hour)*3600) + ((x$min)*60) + x$sec)/86400
    datenum = 719529 + days + frac.day 
    datenum = 719529 + days + frac.day		
  } else if (class(x)[1] == "POSIXct"){
    x = as.POSIXlt(x) #convert to POSIXlt class
    days = as.numeric(as.Date(x)) #extract days since 1970-1-1
    frac.day = (((x$hour)*3600) + ((x$min)*60) + x$sec)/86400
    datenum = 719529 + days + frac.day
  } else if (class(x)[1] == "numeric"){
    days = x / 86400 #convert seconds to days
    datenum = days + 719529 
  } else {
    stop("Input cannot be coerced to POSIXlt or numeric value")
  }
  return(datenum)
}
#The output is a numeric vector of 'days since 0000-1-1 00:00'. 


###############################################################################
#Convert POSIXct or POSIXlt objects to MATLAB datenum, in UTC time zone. 
#All time stamps with non-GMT/UTC time zones will be first converted to the 
#GMT/UTC time zone, then converted to MATLAB datenum value. 
POSIXt2matlabUTC = function(x) {
  if (class(x)[1] == "POSIXct") {
    x = as.POSIXlt(x, tz = "UTC") #convert to UTC time zone
    days = as.numeric(x) / 86400 #convert to days
    datenum = days + 719529 #convert to MATLAB datenum
  } else if (class(x)[1] == "POSIXlt") {
    x = as.POSIXlt(x, tz = "UTC") #convert to UTC time zone
    days = as.numeric(x) / 86400  #convert to days
    datenum = days + 719529 #convert to MATLAB datenum
  } else {stop("POSIXct or POSIXlt object required for input")}
  return(datenum)
}