Nothing
R/GBcurves.R
In GBcurves: Yield Curves of Brazil, China, and Russia
#' @title Yield Curves Dataset
#'
#' @description This function downloads daily yield curves data of Brazil, China, and Russia. If necessary, it interpolates with spline function for unavailable maturities.
#'
#' @usage yields(init, fin, mty, ctry)
#'
#' @param init Initial date in format "YYYY-MM-DD"
#' @param fin Final date in format "YYYY-MM-DD"
#' @param mty Maturities specified by months
#' @param ctry Countries available: "BR", "CN" or "RU"
#'
#' @return A matrix that contains daily yield curves in percent in each row and maturities in months by columns.
#'
#' @source The dataset of Brazil, China, and Russia are obtained from <http://www.b3.com.br/>, <http://yield.chinabond.com.cn>, and <https://www.cbr.ru>, respectively.
#'
#' @examples
#'
#'init <- "2020-05-10"
#'fin <- "2020-05-17"
#'mty <- c(3,6,12,120,360)
#'ctry <- "BR"
#'
#'\dontrun{
#'yields(init = init, fin = fin, mty = mty, ctry = ctry)
#'}
#' @importFrom magrittr %>%
#' @export
yields = function (init,fin,mty,ctry) {
# check for internet
test.internet <- curl::has_internet()
if (!test.internet) {
stop('No internet connection found...')
}
if ( is.na(as.Date(as.character(init), format = '%Y-%m-%d') ) | is.na(as.Date(as.character(fin), format = '%Y-%m-%d'))) {
stop(paste('Inputs \"init\" and \"fin\" must be a string with the standard date format (YYYY-MM-DD)'))
}
if ( fin < init ) {
stop(paste('Found that \"fin\" > \"init\". Did you mix the two up?',
'Please check it.'))
}
if ( is.character(mty) ) {
stop(paste('Input \"mty\" must be a vector with integers'))
}
tmp <- c("BR","RU","CN")[c("BR","RU","CN") == ctry]
if ( identical(tmp, character(0)) ) {
stop(paste('Input \"ctry\" not valid. It should be \"BR\", \"CN\" or \"RU\"'))
}
if ( fin > Sys.Date() ) {
stop(paste0('\"fin\" must be <= ',Sys.Date(),'.',
' Please check it.'))
}
if ( ctry == "BR" ) {
# BR
if ( init < "2003-08-08" ) {
stop(paste('\"init\" must be >= "2003-08-08" for Brazil yield curves.',
'Please check it.'))
}
dates <- format(seq(as.Date(init), as.Date(fin), 'day'), format="%d-%m-%Y", tz="UTC")
if ( !identical(mty[mty < 1 | mty > 600], numeric(0)) ) {
stop(paste0('argument \"mty\" must be between 1 and 600 months for ',ctry, ' yield curves'))
}
mat <- matrix(NA,length(dates),length(mty))
# Scraping
i <- 1
while ( i <= length(dates) ) {
tmp <- httr::GET(url = "http://www2.bmf.com.br/pages/portal/bmfbovespa/lumis/lum-taxas-referenciais-bmf-ptBR.asp",
query = list(Data = dates[i]))
data <- xml2::read_html(tmp) %>% rvest::html_nodes("table") %>% rvest::html_nodes("td") %>% rvest::html_text()
if ( !length(data) == 0 ) {
data <- data.frame(matrix(data, ncol=3, byrow=TRUE))
data[,2] <- as.numeric(gsub(",", ".", gsub("\\.", "", data[,2])))
data[,3] <- as.numeric(gsub(",", ".", gsub("\\.", "", data[,3])))
# Spline
t <- as.integer(as.matrix(data[,1])) / 21
y <- as.numeric(as.matrix(data[,2]))
spl <- stats::smooth.spline(y ~ t, all.knots = FALSE)
t.new <- mty
new <- stats::predict(spl, t.new)
mat[i,] <- new$y
}
#pb = utils::txtProgressBar(min = (1/length(dates)), max = length(dates), style = 3)
#utils::setTxtProgressBar(pb,i)
i <- i + 1
}
colnames(mat) <- paste0("M",mty)
rownames(mat) <- dates
mat <- stats::na.omit(mat)
attributes(mat)$na.action <- NULL
return(mat)
}
# CN
if ( ctry == "CN" ) {
message("Interpolation not available")
if ( init < "2006-03-01" ) {
stop(paste('\"init\" must be >= "2006-03-01" for China yield curves.',
'Please check it.'))
}
dates <- format(seq(as.Date(init), as.Date(fin), 'day'), format="%Y-%m-%d", tz="UTC")
if ( !identical(mty[mty < 0 | mty > 600], numeric(0)) ) {
stop(paste0('argument \"mty\" must be between 0 and 600 months for ',ctry, ' yield curves'))
}
dataset.raw <- list()
store <- matrix(NA,length(dates),2)
if(Sys.info()['sysname'] == 'Linux' ||Sys.info()['sysname'] == 'SunOS' ||Sys.info()['sysname'] == 'Darwin'){
options(HTTPUserAgent = "Mozilla/5.0 (Macintosh; U; Intel Mac OS X 10.6;
en-US; rv:1.9.2.12) Gecko/20101026 Firefox/3.6.12")
}
# function check_url
check_url <- function(url, tmp){
if( R.Version()$nickname=="Unsuffered Consequences" ){
try(
utils::download.file(url = url, destfile = tmp, mode="wb", quiet = TRUE, method = "wininet")
)
}else{
out=tryCatch(
expr = {
utils::download.file(url = url, destfile = tmp, mode="wb", quiet = TRUE)
},
error = function(e){
message(paste("It was not possible to download the date ",dates[i],". Try again, or the date ",dates[i]," is not available."))
return('problem')
},
warning = function(w){
return('problem')
message('')
}#,
)
return(out)
}
}
# Scraping
i <- 1
while ( i <= length(dates) ) {
tmp <- tempfile(fileext = ".xlsx")
url <- paste0("http://yield.chinabond.com.cn/cbweb-mn/yc/downBzqxDetail?ycDefIds=2c9081e50a2f9606010a3068cae70001&&zblx=txy&&workTime=",
dates[i],
"&&dxbj=0&&qxlx=0,&&yqqxN=N&&yqqxK=K&&wrjxCBFlag=0&&locale=en_US")
test <- check_url(url = url, tmp = tmp) # return 'problem' or 0. If 0, tmp size can be 0 or != 0
if(test == 0){ # If = 0, great, it downloaded the date, but we don't know the file size ...
if ( file.info(tmp)$size != 0 ) { # check file size
mat0 <- readxl::read_excel(tmp)
tmp1.new <- as.numeric(as.matrix(mat0[,2])) # Maturities from source
store[i,] <- c(i,length(tmp1.new))
y <- as.numeric(as.matrix(mat0[,3])) # Yields from source
dataset.raw[[i]] <- data.frame(tmp1.new,y)
}else{
dataset.raw[[i]] <- NA
}
}else{
if ( !is.na( file.info(tmp)$size ) ) { # check file size
mat0 <- readxl::read_excel(tmp)
tmp1.new <- as.numeric(as.matrix(mat0[,2])) # Maturities from source
store[i,] <- c(i,length(tmp1.new))
y <- as.numeric(as.matrix(mat0[,3])) # Yields from source
dataset.raw[[i]] <- data.frame(tmp1.new,y)
}else{
dataset.raw[[i]] <- NA
}
}
i <- i + 1
#pb = txtProgressBar(min = (1/length(dates)), max = length(dates), style = 3)
#setTxtProgressBar(pb,i)
}
store <- stats::na.omit(store)
max.mty <- store[store[,2]==max(store[,2]),]
if( !is.character(max.mty[1]) && !is.null(max.mty[1]) && !is.na(max.mty[1])){
max.mty <- as.numeric(max.mty[1])
mat.final <- matrix(NA, length(dates), nrow(dataset.raw[[max.mty]]) )
for(j in 1:length(dates)){
mat.tmp <- if( all(is.na(dataset.raw[[j]])) ){
rep(NA,ncol(mat.final) )
}else{
dataset.raw[[j]][ match(dataset.raw[[max.mty]][,1],dataset.raw[[j]][,1]), 2 ]
}
mat.final[j,] <- mat.tmp
}
colnames(mat.final) <- paste0("M",dataset.raw[[max.mty]][,1]*12)
rownames(mat.final) <- dates
ind <- apply(mat.final, 1, function(x) all(is.na(x)))
mat.final <- mat.final[ !ind, ]
return(mat.final)
}else{
message("Dataset not currently available. Try again later")
max.mty <- 1
mat.final <- matrix(NA, length(dates), max.mty )
#mat.final <- matrix(NA, length(dates), nrow(dataset.raw[[max.mty]]) )
rownames(mat.final) <- dates
return(mat.final)
}
}
# RU
if ( ctry == "RU" ) {
message("Interpolation not available")
if ( init < "2003-01-04" ) {
stop(paste('\"init\" must be >= "2003-01-04" for Russian yield curves.',
'Please check it.'))
}
dates <- format(seq(as.Date(init), as.Date(fin), 'day'), format = "%d/%m/%Y", tz = "UTC")
mty.def <- c(3,6,9,12,24,36,60,84,120,180,240,360)
if ( !identical(mty[mty < 3 | mty > 360], numeric(0)) ) {
stop(paste0('argument \"mty\" must be between 3 and 360 months for ',ctry, ' yield curves'))
}
mat <- matrix(NA,length(dates),(length(mty.def) + 1))
# Scraping
i <- 1
while ( i <= length(dates) ) {
tmp <- httr::GET("https://www.cbr.ru/eng/hd_base/zcyc_params/", query = list(DateTo = dates[i]))
data <- xml2::read_html(tmp) %>% rvest::html_nodes("table") %>% rvest::html_nodes("td") %>% rvest::html_text()
mat[i,] <- data[1:13]
#pb = utils::txtProgressBar(min = (1/length(dates)), max = length(dates), style = 3)
#utils::setTxtProgressBar(pb,i)
i <- i + 1
}
mat <- matrix(as.numeric(mat[,2:ncol(mat)]),nrow(mat),(ncol(mat)-1))
rownames(mat) <- dates
colnames(mat) <- paste0("M",mty.def)
mat <- stats::na.omit(mat)
attributes(mat)$na.action <- NULL
mat <- mat[!duplicated(mat), ]
return(mat)
}
}
Try the GBcurves package in your browser
Any scripts or data that you put into this service are public.
GBcurves documentation built on Jan. 4, 2022, 5:06 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
#' @title Yield Curves Dataset
#'
#' @description This function downloads daily yield curves data of Brazil, China, and Russia. If necessary, it interpolates with spline function for unavailable maturities.
#'
#' @usage yields(init, fin, mty, ctry)
#'
#' @param init Initial date in format "YYYY-MM-DD"
#' @param fin Final date in format "YYYY-MM-DD"
#' @param mty Maturities specified by months
#' @param ctry Countries available: "BR", "CN" or "RU"
#'
#' @return A matrix that contains daily yield curves in percent in each row and maturities in months by columns.
#'
#' @source The dataset of Brazil, China, and Russia are obtained from <http://www.b3.com.br/>, <http://yield.chinabond.com.cn>, and <https://www.cbr.ru>, respectively.
#'
#' @examples
#'
#'init <- "2020-05-10"
#'fin <- "2020-05-17"
#'mty <- c(3,6,12,120,360)
#'ctry <- "BR"
#'
#'\dontrun{
#'yields(init = init, fin = fin, mty = mty, ctry = ctry)
#'}
#' @importFrom magrittr %>%
#' @export
yields = function (init,fin,mty,ctry) {
# check for internet
test.internet <- curl::has_internet()
if (!test.internet) {
stop('No internet connection found...')
}
if ( is.na(as.Date(as.character(init), format = '%Y-%m-%d') ) | is.na(as.Date(as.character(fin), format = '%Y-%m-%d'))) {
stop(paste('Inputs \"init\" and \"fin\" must be a string with the standard date format (YYYY-MM-DD)'))
}
if ( fin < init ) {
stop(paste('Found that \"fin\" > \"init\". Did you mix the two up?',
'Please check it.'))
}
if ( is.character(mty) ) {
stop(paste('Input \"mty\" must be a vector with integers'))
}
tmp <- c("BR","RU","CN")[c("BR","RU","CN") == ctry]
if ( identical(tmp, character(0)) ) {
stop(paste('Input \"ctry\" not valid. It should be \"BR\", \"CN\" or \"RU\"'))
}
if ( fin > Sys.Date() ) {
stop(paste0('\"fin\" must be <= ',Sys.Date(),'.',
' Please check it.'))
}
if ( ctry == "BR" ) {
# BR
if ( init < "2003-08-08" ) {
stop(paste('\"init\" must be >= "2003-08-08" for Brazil yield curves.',
'Please check it.'))
}
dates <- format(seq(as.Date(init), as.Date(fin), 'day'), format="%d-%m-%Y", tz="UTC")
if ( !identical(mty[mty < 1 | mty > 600], numeric(0)) ) {
stop(paste0('argument \"mty\" must be between 1 and 600 months for ',ctry, ' yield curves'))
}
mat <- matrix(NA,length(dates),length(mty))
# Scraping
i <- 1
while ( i <= length(dates) ) {
tmp <- httr::GET(url = "http://www2.bmf.com.br/pages/portal/bmfbovespa/lumis/lum-taxas-referenciais-bmf-ptBR.asp",
query = list(Data = dates[i]))
data <- xml2::read_html(tmp) %>% rvest::html_nodes("table") %>% rvest::html_nodes("td") %>% rvest::html_text()
if ( !length(data) == 0 ) {
data <- data.frame(matrix(data, ncol=3, byrow=TRUE))
data[,2] <- as.numeric(gsub(",", ".", gsub("\\.", "", data[,2])))
data[,3] <- as.numeric(gsub(",", ".", gsub("\\.", "", data[,3])))
# Spline
t <- as.integer(as.matrix(data[,1])) / 21
y <- as.numeric(as.matrix(data[,2]))
spl <- stats::smooth.spline(y ~ t, all.knots = FALSE)
t.new <- mty
new <- stats::predict(spl, t.new)
mat[i,] <- new$y
}
#pb = utils::txtProgressBar(min = (1/length(dates)), max = length(dates), style = 3)
#utils::setTxtProgressBar(pb,i)
i <- i + 1
}
colnames(mat) <- paste0("M",mty)
rownames(mat) <- dates
mat <- stats::na.omit(mat)
attributes(mat)$na.action <- NULL
return(mat)
}
# CN
if ( ctry == "CN" ) {
message("Interpolation not available")
if ( init < "2006-03-01" ) {
stop(paste('\"init\" must be >= "2006-03-01" for China yield curves.',
'Please check it.'))
}
dates <- format(seq(as.Date(init), as.Date(fin), 'day'), format="%Y-%m-%d", tz="UTC")
if ( !identical(mty[mty < 0 | mty > 600], numeric(0)) ) {
stop(paste0('argument \"mty\" must be between 0 and 600 months for ',ctry, ' yield curves'))
}
dataset.raw <- list()
store <- matrix(NA,length(dates),2)
if(Sys.info()['sysname'] == 'Linux' ||Sys.info()['sysname'] == 'SunOS' ||Sys.info()['sysname'] == 'Darwin'){
options(HTTPUserAgent = "Mozilla/5.0 (Macintosh; U; Intel Mac OS X 10.6;
en-US; rv:1.9.2.12) Gecko/20101026 Firefox/3.6.12")
}
# function check_url
check_url <- function(url, tmp){
if( R.Version()$nickname=="Unsuffered Consequences" ){
try(
utils::download.file(url = url, destfile = tmp, mode="wb", quiet = TRUE, method = "wininet")
)
}else{
out=tryCatch(
expr = {
utils::download.file(url = url, destfile = tmp, mode="wb", quiet = TRUE)
},
error = function(e){
message(paste("It was not possible to download the date ",dates[i],". Try again, or the date ",dates[i]," is not available."))
return('problem')
},
warning = function(w){
return('problem')
message('')
}#,
)
return(out)
}
}
# Scraping
i <- 1
while ( i <= length(dates) ) {
tmp <- tempfile(fileext = ".xlsx")
url <- paste0("http://yield.chinabond.com.cn/cbweb-mn/yc/downBzqxDetail?ycDefIds=2c9081e50a2f9606010a3068cae70001&&zblx=txy&&workTime=",
dates[i],
"&&dxbj=0&&qxlx=0,&&yqqxN=N&&yqqxK=K&&wrjxCBFlag=0&&locale=en_US")
test <- check_url(url = url, tmp = tmp) # return 'problem' or 0. If 0, tmp size can be 0 or != 0
if(test == 0){ # If = 0, great, it downloaded the date, but we don't know the file size ...
if ( file.info(tmp)$size != 0 ) { # check file size
mat0 <- readxl::read_excel(tmp)
tmp1.new <- as.numeric(as.matrix(mat0[,2])) # Maturities from source
store[i,] <- c(i,length(tmp1.new))
y <- as.numeric(as.matrix(mat0[,3])) # Yields from source
dataset.raw[[i]] <- data.frame(tmp1.new,y)
}else{
dataset.raw[[i]] <- NA
}
}else{
if ( !is.na( file.info(tmp)$size ) ) { # check file size
mat0 <- readxl::read_excel(tmp)
tmp1.new <- as.numeric(as.matrix(mat0[,2])) # Maturities from source
store[i,] <- c(i,length(tmp1.new))
y <- as.numeric(as.matrix(mat0[,3])) # Yields from source
dataset.raw[[i]] <- data.frame(tmp1.new,y)
}else{
dataset.raw[[i]] <- NA
}
}
i <- i + 1
#pb = txtProgressBar(min = (1/length(dates)), max = length(dates), style = 3)
#setTxtProgressBar(pb,i)
}
store <- stats::na.omit(store)
max.mty <- store[store[,2]==max(store[,2]),]
if( !is.character(max.mty[1]) && !is.null(max.mty[1]) && !is.na(max.mty[1])){
max.mty <- as.numeric(max.mty[1])
mat.final <- matrix(NA, length(dates), nrow(dataset.raw[[max.mty]]) )
for(j in 1:length(dates)){
mat.tmp <- if( all(is.na(dataset.raw[[j]])) ){
rep(NA,ncol(mat.final) )
}else{
dataset.raw[[j]][ match(dataset.raw[[max.mty]][,1],dataset.raw[[j]][,1]), 2 ]
}
mat.final[j,] <- mat.tmp
}
colnames(mat.final) <- paste0("M",dataset.raw[[max.mty]][,1]*12)
rownames(mat.final) <- dates
ind <- apply(mat.final, 1, function(x) all(is.na(x)))
mat.final <- mat.final[ !ind, ]
return(mat.final)
}else{
message("Dataset not currently available. Try again later")
max.mty <- 1
mat.final <- matrix(NA, length(dates), max.mty )
#mat.final <- matrix(NA, length(dates), nrow(dataset.raw[[max.mty]]) )
rownames(mat.final) <- dates
return(mat.final)
}
}
# RU
if ( ctry == "RU" ) {
message("Interpolation not available")
if ( init < "2003-01-04" ) {
stop(paste('\"init\" must be >= "2003-01-04" for Russian yield curves.',
'Please check it.'))
}
dates <- format(seq(as.Date(init), as.Date(fin), 'day'), format = "%d/%m/%Y", tz = "UTC")
mty.def <- c(3,6,9,12,24,36,60,84,120,180,240,360)
if ( !identical(mty[mty < 3 | mty > 360], numeric(0)) ) {
stop(paste0('argument \"mty\" must be between 3 and 360 months for ',ctry, ' yield curves'))
}
mat <- matrix(NA,length(dates),(length(mty.def) + 1))
# Scraping
i <- 1
while ( i <= length(dates) ) {
tmp <- httr::GET("https://www.cbr.ru/eng/hd_base/zcyc_params/", query = list(DateTo = dates[i]))
data <- xml2::read_html(tmp) %>% rvest::html_nodes("table") %>% rvest::html_nodes("td") %>% rvest::html_text()
mat[i,] <- data[1:13]
#pb = utils::txtProgressBar(min = (1/length(dates)), max = length(dates), style = 3)
#utils::setTxtProgressBar(pb,i)
i <- i + 1
}
mat <- matrix(as.numeric(mat[,2:ncol(mat)]),nrow(mat),(ncol(mat)-1))
rownames(mat) <- dates
colnames(mat) <- paste0("M",mty.def)
mat <- stats::na.omit(mat)
attributes(mat)$na.action <- NULL
mat <- mat[!duplicated(mat), ]
return(mat)
}
}
Try the GBcurves package in your browser
Any scripts or data that you put into this service are public.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.