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December 21, 2015 04:39
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30s, 20s and LTGOVTBD don't have a contiguous series. This piece of code merges the three in that order of preference. Potential improvement - estimate term premium to have consistent constant maturity of 30y.
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| mergeLongEnd = function() | |
| { | |
| if ( exists("DGS20") == FALSE ) { getSymbols("DGS20", src="FRED") } | |
| if ( exists("DGS30") == FALSE ) { getSymbols("DGS30", src="FRED") } | |
| if ( exists("LTGOVTBD") == FALSE ) { getSymbols("LTGOVTBD", src="FRED") } | |
| a = merge(DGS30, LTGOVTBD, DGS20) | |
| a$s = a$DGS30 | |
| a$s[is.na(a$s)] = a$DGS20[is.na(a$s)] | |
| a$s[is.na(a$s)] = a$LTGOVTBD[is.na(a$s)] | |
| return(a$s) | |
| } |
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