diff --git a/Finance-Treasury.cabal b/Finance-Treasury.cabal --- a/Finance-Treasury.cabal +++ b/Finance-Treasury.cabal @@ -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 diff --git a/Finance/Treasury.hs b/Finance/Treasury.hs --- a/Finance/Treasury.hs +++ b/Finance/Treasury.hs @@ -1,67 +1,64 @@ -{- | -Module : Finance.Treasury -Copyright : Copyright (c) 2008, Steve lihn -License : BSD3 -Maintainer : Steve lihn -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 +-- License : BSD3 +-- Maintainer : Steve lihn +-- 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 diff --git a/tests/test.sh b/tests/test.sh --- a/tests/test.sh +++ b/tests/test.sh @@ -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 && \