Economics assignment (International Finance)

# Historic data for selected currencies and interest rates
# Kevin Kotze

# General cleanup ----
rm(list = ls())
graphics.off()

# System setup ----
path <- 'F:/Economics/Honours/International Finance' # change the path to where you want to work and save files
setwd(path)

system("C:/blp/DAPI/bbcomm.exe")

library(Rblpapi)
con <- blpConnect()

# Set parameters ----
begin <- as.Date("1990-01-01") # set first observation
opt <- c("periodicitySelection" = "MONTHLY") # set data frequency

# Retrieve one month forward data for USDZAR ----
forward <- bdh(securities = 'ZAR1M CURNCY',
               fields = 'PX_LAST',
               start.date = begin,
               options = opt)

# Retrieve one month exchange rate data for USDZAR ----
exch <- bdh(securities = 'USDZAR CURNCY',
            fields = 'PX_LAST',
            start.date = begin,
            options = opt)

# Retrieve one month interest rate data for ZAR ----
domint <- bdh(securities = 'SARPRT INDEX',
              fields = 'PX_LAST',
              start.date = begin,
              options = opt)

# Retrieve one month interest rate data for USD ----
forint <- bdh(securities = 'FDFD INDEX',
              fields = 'PX_LAST',
              start.date = begin,
              options = opt)

# Get all the vectors to the same length
maxobs <- max(c(
    dim(forward)[1],
    dim(exch)[1],
    dim(domint)[1],
    dim(forint)[1]))


missing <- data.frame(rep(NA,maxobs), rep(NA,maxobs))
colnames(missing) <- colnames(forward)

if(maxobs - dim(forward)[1] > 0){
  dat1 <- rbind(missing[1:(maxobs - dim(forward)[1]),], forward)
  } else{dat1 <- forward}

if(maxobs - dim(exch)[1] > 0){
  dat2 <- rbind(missing[1:(maxobs - dim(exch)[1]),], exch)
  } else{dat2 <- exch}

if(maxobs - dim(domint)[1] > 0){
  dat3 <- rbind(missing[1:(maxobs - dim(domint)[1]),], domint)
  } else{dat3 <- domint}

if(maxobs - dim(forint)[1] > 0){
  dat4 <- rbind(missing[1:(maxobs - dim(forint)[1]),], forint)
  } else{dat4 <- forint}

dat <- cbind(dat1, dat2, dat3, dat4)
colnames(dat)[seq(2, 8, by=2)] <- c("Forward", "Exchange", "Dom_int", "For_int")

write.csv(dat, file = "zar.csv")

blpDisconnect(con)

# Note that forward points are the number of basis points added to or subtracted from the current spot rate of a currency pair to determine the forward rate for delivery on a specific value date