#
# Convert the WRDS yearly interest rates, reported monthly. The data set is the
# WRDS Interest Rates (Federal Reserve, H15 report)
# The column used is the federal funds column.
#
rootPath = "../data"
# yearly percentage rates, reported quarterly
interestFile = "monthly_interest_rates.csv"
# interest reported quarterly
interestOut = "quarterly_interest_rates.csv"
interestPath = paste(rootPath, interestFile, sep="/")
interestOutPath = paste(rootPath, interestOut, sep="/")

interest.df = read.csv(interestPath)

fedFundsCol = "FF_O"
dateCol = "date"

dates = as.Date(strptime(as.vector(as.character(interest.df[,dateCol])), format="%d%b%Y", tz="EST"))

months = as.numeric(format(dates, format="%m"))
ix = which(months %in% c(3, 6, 9, 12))

qtr = dates[ix]
q1Ix = which(as.numeric(format(qtr, format="%m")) == 3)
q1Yr = format(qtr[q1Ix], format="%Y")
qtr[q1Ix] = as.Date(paste(q1Yr, "03-31", sep="-"))

q2Ix = which(as.numeric(format(qtr, format="%m")) == 6)
q2Yr = format(qtr[q2Ix], format="%Y")
qtr[q2Ix] = as.Date(paste(q2Yr, "06-30", sep="-"))

q3Ix = which(as.numeric(format(qtr, format="%m")) == 9)
q3Yr = format(qtr[q3Ix], format="%Y")
qtr[q3Ix] = as.Date(paste(q3Yr, "09-30", sep="-"))

q4Ix = which(as.numeric(format(qtr, format="%m")) == 12)
q4Yr = format(qtr[q4Ix], format="%Y")
qtr[q4Ix] = as.Date(paste(q4Yr, "12-31", sep="-"))

rates = interest.df[ix, fedFundsCol]/100
interestData.df = data.frame(qtr, rates)
colnames(interestData.df) = c("date", "FedFunds")
write.csv(x = interestData.df, file=interestOutPath, quote=F, row.names=F)