In MjStansfi/multilateral: Generalised Function to Calculate a Variety of Multilateral Price Index Methods

knitr::opts_chunk$set(
  collapse = TRUE,
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Multilateral

Overview

The multilateral package provides one key function, that is multilateral(). The user provides the necessary attributes of a dataset to calculate their choice of multilateral methods.

See vignette for further information.

For some specific index calculation methods this package has been heavily influenced by Graham White's IndexNumR package.

Installation

devtools::install_github("MjStansfi/multilateral")

library(multilateral)

Usage

See bottom for all index and splice methods.

library(multilateral)
library(ggplot2)

tpd_index <- multilateral(period = turvey$month,
                          id = turvey$commodity,
                          price = turvey$price,
                          quantity = turvey$quantity,
                          splice_method = "geomean",
                          window_length = 13,
                          index_method = "TPD")

plot <- ggplot(tpd_index$index)+geom_line(aes(x = period, y = index))+theme_bw()

print(plot)

Further detail

The function returns a list object containing

• index: the continuous spliced index,
• index_windows: each individual window's index,
• splice_detail: splicing information.

str(tpd_index) 

The index_windows returns all individual windows indexes before they were spliced. Below shows how you could (roughly) visualise this data

library(dplyr)

#Get splice details to relevel each new index
update_factor <- tpd_index$splice_detail%>%
  mutate(update_factor  = cumprod(update_factor))%>%
  select(window_id, update_factor)


index_windows <- merge(tpd_index$index_windows,update_factor)

index_windows <-index_windows%>%mutate(updated_index = index*update_factor)
windows_plot <- ggplot(index_windows)+
  geom_line(aes(x = period, y = updated_index, group = window_id, colour = window_id))+
  theme_bw()

print(windows_plot)

splice_detail gives the user a break down of how the given periods index number is made up of both a 'revision factor' (from splicing) and the latest periods movement. This can be useful for diagnostics.

head(tpd_index$splice_detail)

Below shows one way in which you could visualise contribution of revision factor verses the latest movement.

library(dplyr)

#Period of interest
splice_detail <- tpd_index$splice_detail[period=="1973-02-28"]

#Log information to determine contribution
lwm_log <- log(splice_detail$latest_window_movement)
rf_log <- log(splice_detail$revision_factor)
sum_log <- sum(lwm_log+rf_log)

lwm_contrib <- lwm_log/sum_log
rf_contrib <- rf_log/sum_log


ggplot(mapping = aes(fill=c("Latest movement","Revision factor"),
                     y=c(lwm_contrib,rf_contrib),
                     x="1973-02-28"))+
  geom_bar(position="stack", stat="identity", width = 0.2)+
  theme_bw()+
  xlab("Date")+
  ylab("% Contribution")+
  labs(fill = "Contributor")+
  scale_fill_manual(values = c("#085c75","#d2ac2f"))

Options

See vignette for further information.

#Could re do this by method
library(dplyr)
library(kableExtra)
index_method_config <- yaml::read_yaml(system.file("config","index_method_config.yaml", package = "multilateral"))
splice_method_config <- yaml::read_yaml(system.file("config","splice_method_config.yaml", package = "multilateral"))
chain_method_config <- yaml::read_yaml(system.file("config","chain_method_config.yaml", package = "multilateral"))


methods <- names(index_method_config)
summary <- lapply(methods,function(x){index_method_config[[x]]})
summary <- data.table::rbindlist(summary)
summary[,description:=NULL]
summary$Method <- methods

colnames(summary) <- c("Name","Requires ID","Requires Features","Requires Quantity","Requires Weight","Can Restrict to Matched Sample","Method")

summary <- summary[,c("Method","Name","Requires ID","Requires Features","Requires Quantity","Requires Weight","Can Restrict to Matched Sample")]

knitr::kable(summary) %>%
  kableExtra::kable_styling(font_size = 12)
knitr::kable(as.data.frame(splice_method_config)) 
knitr::kable(as.data.frame(chain_method_config)) 

MjStansfi/multilateral documentation built on April 23, 2022, 9:21 p.m.