Finance-Treasury 0.1 → 0.1.1

raw patch · 3 files changed

+72/−64 lines, 3 files

Files

• Finance-Treasury.cabal +1/−1
• Finance/Treasury.hs +66/−63
• tests/test.sh +5/−0

@@ -1,5 +1,5 @@ Name:                Finance-Treasury-Version:             0.1+Version:             0.1.1 Description:         Obtain Treasury yield curve data from Department of Treasury website Synopsis:            Obtain Treasury yield curve data Category:            Web

@@ -1,67 +1,64 @@-{- | -Module     : Finance.Treasury-Copyright  : Copyright (c) 2008, Steve lihn <stevelihn@gmail.com>-License    : BSD3-Maintainer : Steve lihn <stevelihn@gmail.com>-Stability  : experimental-Tested with: GHC 6.6.1--Finance.Treasury is a module to obtain yield curve data from Department-of Treasury website.--Error reporting is somewhat of a mixed model in this module. More-improvement is desired in future releases.--Here is a small complete program illustrating the use of this module:--@--    module Main where-    import Finance.Treasury-    import qualified Data.Map as M-    import Data.List (sort)-    import Text.Printf-    main = do-        putStrLn "**************************************"-        m <- getYieldCurveThisMonth -        putStrLn "*** pretty print 10y rates for all dates"-        prettyYieldCurve m (Just "10y")-        ---        d <- getLatestYieldCurve -        putStrLn "*** pretty print the latest daily yield curve"-        prettyYieldCurve (M.fromList [d]) Nothing-        ---        putStrLn "*** show some yield curves of past year"-        h <- getYieldCurveHist-        prettyYieldCurve (minmax h) (Just "10y")-        mapM_ prt yrs -        putStrLn "**************************************"-        return ()-        where minmax h = M.fromList [ M.findMin h, M.findMax h ]-              yrs = reverse [ 1992..2007 ]-              prt :: Int -> IO ()-              prt yr = do putStrLn $ "*** show some yield curves of "++(show yr)-                          yc <- getYieldCurveYyyy yr-                          prettyYieldCurve (minmax yc) (Just "10y")-                          return ()---@---}-{- -  License info:-  The license is a simple BSD3-style license.  --}+-- | +-- Module     : Finance.Treasury+-- Copyright  : Copyright (c) 2008, Steve lihn <stevelihn@gmail.com>+-- License    : BSD3+-- Maintainer : Steve lihn <stevelihn@gmail.com>+-- Stability  : experimental+-- Tested with: GHC 6.6.1+--+-- Finance.Treasury is a module to obtain yield curve data from Department+-- of Treasury website.+--+-- Error reporting is somewhat of a mixed model in this module. More+-- improvement is desired in future releases.+--+-- Here is a small complete program illustrating the use of this module:+--+-- >    module Main where+-- >    import Finance.Treasury+-- >    import qualified Data.Map as M+-- >    import Data.List (sort)+-- >    import Text.Printf+-- >    main = do+-- >        putStrLn "**************************************"+-- >        m <- getYieldCurveThisMonth +-- >        putStrLn "*** pretty print 10y rates for all dates"+-- >        prettyYieldCurve m (Just "10y")+-- >        --+-- >        d <- getLatestYieldCurve +-- >        putStrLn "*** pretty print the latest daily yield curve"+-- >        prettyYieldCurve (M.fromList [d]) Nothing+-- >        --+-- >        putStrLn "*** show some yield curves of past year"+-- >        h <- getYieldCurveHist+-- >        prettyYieldCurve (minmax h) (Just "10y")+-- >        mapM_ prt yrs +-- >        putStrLn "**************************************"+-- >        return ()+-- >        where minmax h = M.fromList [ M.findMin h, M.findMax h ]+-- >              yrs = reverse [ 1992..2007 ]+-- >              prt :: Int -> IO ()+-- >              prt yr = do putStrLn $ "*** show some yield curves of "++(show yr)+-- >                          yc <- getYieldCurveYyyy yr+-- >                          prettyYieldCurve (minmax yc) (Just "10y")+-- >                          return ()+--+-- License info: The license is a simple BSD3-style license.  +--  module Finance.Treasury ( +    -- * Yield curve storage+    YieldCurveMap,      DailyYieldCurve,      DailyYieldCurveList,+    -- ** Yield curve maturity     yieldCurveHash, +    -- * Fetching yield curve data     getLatestYieldCurve,      getYieldCurveThisMonth,     getYieldCurveHist,     getYieldCurveYyyy,+    -- * Printing yield curve data     prettyYieldCurve   ) where @@ -95,10 +92,10 @@                   else error "yieldYyyyURL: "++s1++" is not YYYYY"           -{- yieldCurveHash translates maturity from XML names to abbreviations.-   E.g. "BC_1MONTH" becomes "1m".-   List of all maturities: 1m 3m 6m 1y 2y 3y 5y 7y 10y 20y 30y --}+-- | translates maturity from XML names to abbreviations.+-- E.g. BC_1MONTH becomes 1m.+-- List of all maturities: 1m 3m 6m 1y 2y 3y 5y 7y 10y 20y 30y.+-- However, 30y data may be lacking for some years when the bond was not in circulation.  yieldCurveHash :: M.Map String String yieldCurveHash = M.fromList     [ ( "BC_1MONTH", "1m" ),@@ -113,30 +110,36 @@       ( "BC_20YEAR", "20y" ),       ( "BC_30YEAR", "30y" ) ]  -+-- | a Map storing the assoc array of maturity to interest rate (in percent) type DailyYieldCurve     = M.Map String Float+-- | a List storing the tuple of maturity and interest rate (in percent) type DailyYieldCurveList = [ (String, Float) ]+-- | a Map storing all the daily yield curves type YieldCurveMap       = M.Map C.Day DailyYieldCurve +-- | fetch the latest daily yield curve from the monthly data. getLatestYieldCurve :: IO (C.Day, DailyYieldCurve) getLatestYieldCurve =     do ycs <- getYieldCurveThisMonth        return $ M.findMax ycs +-- | fetch the latest monthly data. -- There is no reason to fail, so it is an error if there is no XML returned getYieldCurveThisMonth :: IO YieldCurveMap getYieldCurveThisMonth =     do jstr <- fetchXML yieldURL        parseRawWrapper parseRawXML1 jstr +-- | fetch the latest yearly data (excluding current month). -- There is no reason to fail, so it is an error if there is no XML returned getYieldCurveHist :: IO YieldCurveMap getYieldCurveHist =     do jstr <- fetchXML yieldHistURL        parseRawWrapper parseRawXML2 jstr --- If YYYY is not in range, this call may fail--- Otherwise, there is no reason to fail+-- | fetch the historical yearly data (excluding current year).+-- If YYYY is not in range (since 1992), this call may fail.+-- Otherwise, there is no reason to fail. getYieldCurveYyyy :: Int -> IO YieldCurveMap getYieldCurveYyyy yr =     do s <- fetchXML $ yieldYyyyURL yr@@ -178,7 +181,7 @@ justhead node (s:sx) = s justhead node [] = error $ "parse error at \n"++(XP.formatXmlTree node) --- a quick test function+-- | print yield curve data in a csv format for storage or testing. prettyYieldCurve :: YieldCurveMap -> Maybe String -> IO () prettyYieldCurve ycm mmat =     do let ds = sort $ M.keys ycm

@@ -18,9 +18,14 @@     cd tests/     ./treas }+_haddock ()+{+  haddock -h -o ~/www/haskell/treas-docs Finance/Treasury.hs+}    [ -f "./treas" ] && rm ./treas   cd ../+  _haddock   Setup.lhs configure --user && \   Setup.lhs build && \   cd tests && \