R/autoplot.R

In FinYang/ycevo: Nonparametric Estimation of the Yield Curve Evolution

#' @md
#' @importFrom ggplot2 autoplot
#' @export
#' @seealso [autoplot.ycevo()]
ggplot2::autoplot


#' Plot discount function and yield curve
#'
#'
#' @md
#' @inheritParams augment.ycevo
#' @param object A [ycevo] object
#' @param est Which estimated values to plot: discount function, yield curve, or
#'   both. Default is both.
#' @param against Which variable to plot against, i.e. what is on the x axis.
#'   Time-to-maturity `tau`, quotation date `x`, or both (requires package
#'   `plotly`). If both, an interactive 3D plot is generated.
#'
#' @returns A [ggplot2::ggplot()] object if only one dimension is specified in
#'   `against`. A [plotly::plot_ly()] object if `against` is set to both.
#'
#' @seealso [ycevo()]
#' @examples
#' # Simulating bond data
#' bonds <- ycevo_data(n = 10)
#' \donttest{
#' # Estimation can take up to 30 seconds
#' res <- ycevo(bonds, x = lubridate::ymd("2023-03-01"))
#' # Plot
#' autoplot(res)
#' }
#'
#' @importFrom ggplot2 facet_grid
#' @export
autoplot.ycevo <- function(
    object, est = c("both", "discount", "yield"),
    against = c("tau", "x", "both"), loess = TRUE, ...) {
  qdate_label <- attr(object, "qdate_label")
  est <- match.arg(est)
  which_drop <- switch(
    est,
    both = character(0),
    discount = ".yield",
    yield = ".discount"
  )
  df_plot <- augment(object, loess = loess) %>%
    mutate(!!sym(qdate_label)) %>%
    select(!all_of(which_drop)) %>%
    tidyr::pivot_longer(any_of(c(".discount", ".yield")),
                 names_to = ".est",
                 values_to = ".value")
  against <- match.arg(against)
  switch (
    against,
    tau = {
      df_plot %>%
        ggplot(aes(x=.data$tau, y=.data$.value, colour = !!sym(qdate_label),
                   group = !!sym(qdate_label))) +
        geom_line() +
        facet_grid(".est", scales = "free_y")
    },
    x = {
      df_plot %>%
        ggplot(aes(x=!!sym(qdate_label), y=.data$.value, colour = .data$tau,
                   group = .data$tau)) +
        geom_line() +
        facet_grid(".est", scales = "free_y")
    },
    both = {
      if (!requireNamespace("plotly", quietly = TRUE)) {
        stop(
          "Package \"plotly\" must be installed when \"against = \"both\"\".",
          call. = FALSE
        )
      }
      if(est == "both")
        stop("\"est\" must be one of \"discount\" or \"yield\" when when \"against = \"both\"\".")
      plotly::plot_ly(df_plot,
                      x = ~tau, y = ~qdate, z = ~.value,
                      type = 'scatter3d', mode = 'lines',
                      split = ~qdate) %>%
        plotly::layout(scene = list(zaxis = list(title = est)))
    }
  )
}