library(survival)

type <- c("character","numeric","numeric", "numeric","numeric","numeric")

bonds <- read.table("191121812.csv",header=T,sep=",",colClasses=type)

bonds <- bonds[!is.na(bonds$tcm10y),]

dd <- substring(bonds$date,1,2)
mm <- substring(bonds$date,3,5)
yyyy <- substring(bonds$date,6,9)
mm[mm == "JAN"] <- "01"
mm[mm == "FEB"] <- "02"
mm[mm == "MAR"] <- "03"
mm[mm == "APR"] <- "04"
mm[mm == "MAY"] <- "05"
mm[mm == "JUN"] <- "06"
mm[mm == "JUL"] <- "07"
mm[mm == "AUG"] <- "08"
mm[mm == "SEP"] <- "09"
mm[mm == "OCT"] <- "10"
mm[mm == "NOV"] <- "11"
mm[mm == "DEC"] <- "12"
yyyymmdd <- paste(yyyy,mm,dd,sep="")
caldt <- as.numeric(yyyymmdd)
bonds <- cbind(bonds,caldt)

bonds <- bonds[,2:7]

lpr <- -(10.0)*log(1.0 + bonds$tcm10y/100.0)
dlpr <- c(NA,diff(lpr))
bonds$tcm10y <- dlpr

lpr <- -(1.0)*log(1.0 + bonds$tcm1y/100.0)
dlpr <- c(NA,diff(lpr))
bonds$tcm1y <- dlpr

lpr <- -(3.0)*log(1.0 + bonds$tcm3y/100.0)
dlpr <- c(NA,diff(lpr))
bonds$tcm3y <- dlpr

lpr <- -(5.0)*log(1.0 + bonds$tcm5y/100.0)
dlpr <- c(NA,diff(lpr))
bonds$tcm5y <- dlpr

lpr <- -(7.0)*log(1.0 + bonds$tcm7y/100.0)
dlpr <- c(NA,diff(lpr))
bonds$tcm7y <- dlpr

rm(yyyy, mm, dd, yyyymmdd, caldt, lpr, dlpr, type)