README.md

In Houstonwp/AIRG: An R replication of the Academy's Interest Rate Generator

AIRG

The goal of AIRG is to replicate the functionality of the Academy’s interest rate generator in R.

Installation

You can install the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("Houstonwp/AIRG")

Example

The following code generates a single 360 yield curve scenario:

library(AIRG)

maturities <- c(0.25,0.5,1,2,3,5,7,10,20,30)
corr_matrix <- chol(matrix(c(1,-0.19197,0,-0.19197,1,0,0,0,1),nrow=3))

yieldCurve_scenario <- generate_stochastics(360) %>% 
  correlate_stochastics(corr_matrix) %>% 
  generate_processes() %>% 
  generate_rates() %>% 
  fit_parameters(ns_regressors(c(1,20))) %>% 
  interpolate_rates(ns_regressors(maturities))

library(tidyverse)
#> -- Attaching packages -------------------------------------------------------------------------------------------------------------- tidyverse 1.2.1 --
#> v ggplot2 3.2.1     v purrr   0.3.3
#> v tibble  2.1.3     v dplyr   0.8.3
#> v tidyr   1.0.0     v stringr 1.4.0
#> v readr   1.3.1     v forcats 0.4.0
#> -- Conflicts ----------------------------------------------------------------------------------------------------------------- tidyverse_conflicts() --
#> x dplyr::filter() masks stats::filter()
#> x dplyr::lag()    masks stats::lag()

rownames(yieldCurve_scenario)<- maturities

yieldCurve <- as_tibble(t(yieldCurve_scenario)) %>% 
  rownames_to_column(var = "projection_month") %>% 
  mutate(projection_month = as.numeric(projection_month)) %>% 
  pivot_longer(cols = -projection_month, names_to = "maturity", values_to = "rate")

ggplot(yieldCurve, aes(x=projection_month, y = rate)) + geom_line(aes(color=maturity))

Houstonwp/AIRG documentation built on Jan. 12, 2020, 8:10 p.m.