inst/doc/spot-rate-curve-plotting.R

In fixedincome: Fixed Income Models, Calculations, Data Structures and Instruments

## ---- include = FALSE---------------------------------------------------------
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  out.width = "100%"
)

## ----message=FALSE, warning=FALSE---------------------------------------------
library(rb3)
library(dplyr)
library(fixedincome)
library(ggplot2)

## -----------------------------------------------------------------------------
refdate <- as.Date("2022-08-09")
yc_ <- yc_get(refdate)
fut_ <- futures_get(refdate)
yc_ss <- yc_superset(yc_, fut_)
yc <- bind_rows(
  yc_ss |> slice(1),
  yc_ss |> filter(!is.na(symbol))
) |>
  filter(!duplicated(biz_days))

curve <- spotratecurve(
  yc$r_252, yc$biz_days, "discrete", "business/252", "Brazil/ANBIMA",
  refdate = refdate
)

## ----fig.width=10, fig.height=5-----------------------------------------------
plot(curve)

## ----fig.width=10, fig.height=5-----------------------------------------------
plot(curve, show_forward = TRUE)

## ----fig.width=10, fig.height=5-----------------------------------------------
curve |>
  fixedincome::first("3 years") |>
  plot(curve, show_forward = TRUE)

## ----fig.width=10, fig.height=5-----------------------------------------------
curve_2y <- curve |> fixedincome::first("2 years")
interpolation(curve_2y) <- interp_naturalspline()
plot(curve_2y, use_interpolation = TRUE)

## ----fig.width=10, fig.height=5-----------------------------------------------
plot(curve_2y, use_interpolation = TRUE, show_forward = TRUE)

## ----fig.width=10, fig.height=5-----------------------------------------------
plot(curve_2y, use_interpolation = TRUE, show_forward = TRUE, legend_location = "bottomleft")

## ----fig.width=10, fig.height=5-----------------------------------------------
ggspotratecurveplot(curve,
  title = "DI1 spot rates", subtitle = format(refdate), caption = "Data from {rb3} package"
)

## ----fig.width=10, fig.height=5-----------------------------------------------
ggspotratecurveplot(curve,
  title = "DI1 spot rates", subtitle = format(refdate), caption = "Data from {rb3} package",
  curve.x.axis = "terms"
)

## ----fig.width=10, fig.height=5-----------------------------------------------
ggspotratecurveplot(curve,
  title = "DI1 spot rates", subtitle = format(refdate), caption = "Data from {rb3} package"
) +
  autolayer(forwardrate(curve), size = 1)

## ----fig.width=10, fig.height=5-----------------------------------------------
ggspotratecurveplot(curve_2y,
  title = "DI1 spot rates", subtitle = format(refdate), caption = "Data from {rb3} package",
  curve.interpolation = TRUE
)

## ----fig.width=10, fig.height=5-----------------------------------------------
autoplot(curve_2y, curve.geom = "point") +
  autolayer(curve_2y, curve.geom = "line", curve.name = "Interpolation", curve.interpolation = TRUE)

## ----fig.width=10, fig.height=5-----------------------------------------------
terms_ <- do.call(seq, as.list(range(curve_2y@terms)))
curve_2y_interp <- curve_2y[[terms_]]
autoplot(curve_2y, curve.geom = "point") +
  autolayer(curve_2y_interp, curve.geom = "line") +
  autolayer(forwardrate(curve_2y_interp),
    curve.geom = "line", curve.name = "Forward Rate"
  )

## -----------------------------------------------------------------------------
refdate2 <- as.Date("2022-03-09")
yc_ <- yc_get(refdate2)
fut_ <- futures_get(refdate2)
yc_ss <- yc_superset(yc_, fut_)
yc <- bind_rows(
  yc_ss |> slice(1),
  yc_ss |> filter(!is.na(symbol))
) |>
  filter(!duplicated(biz_days))

curve2 <- spotratecurve(
  yc$r_252, yc$biz_days, "discrete", "business/252", "Brazil/ANBIMA",
  refdate = refdate2
)

## ----fig.width=10, fig.height=5-----------------------------------------------
ggspotratecurveplot(curve,
  title = "DI1 spot rates", caption = "Data from {rb3} package",
  curve.x.axis = "terms"
) +
  autolayer(curve2, curve.x.axis = "terms", size = 1) +
  autolayer(curve2, curve.geom = "point", curve.x.axis = "terms", size = 2)

## ----fig.width=10, fig.height=5-----------------------------------------------
curve2_2y <- curve2 |> fixedincome::first("2 years")
ggspotratecurveplot(curve_2y,
  title = "DI1 spot rates", caption = "Data from {rb3} package",
  curve.x.axis = "terms"
) +
  autolayer(curve2_2y, curve.x.axis = "terms", size = 1) +
  autolayer(curve2_2y, curve.geom = "point", curve.x.axis = "terms", size = 2)