R/download_indicators.R

In dinhani/BRStocksAndHedgeFunds: Brazilizan Stock Prices and Hedge Funds

#' Download Indicators
#'
#' Download daily and monthly values of several Brazilian economic indicators.
#'
#' @importFrom dplyr lag
#' @importFrom lubridate year quarter month day wday
#' @importFrom Quandl Quandl
#'
#' @param indicator_name Character. Indicator name in a human readable format. Serves only to identify the indicator in the returned data.frame.
#' @param indicator_id Chracter. Quandl unique ID of the desired indicator.
#' @param is_percentage Boolean. Indicates if expected values are represing percentages. Necessary to fix Value column because Quandl does not represents percentages property. Defaults to true.
#'
#' @return A data.frame containing:
#' \itemize{
#' \item Indicator (indicator name)
#' \item Date
#' \item StartDate
#' \item Value
#' \item PctChange (based on Value)
#' }
#'
#' @examples
#' \dontrun{
#' download_indicator_cdi_daily()
#' download_indicator_cdi_monhtly()
#' download_indicator_ibovespa_daily()}
#'
#' @author Renato Dinhani
download_indicator_quandl <- function(indicator_id, indicator_name = "", is_percentage = TRUE) {
  # validate
  stopifnot(is.character(indicator_id))
  stopifnot(is.character(indicator_name))
  stopifnot(is.logical(is_percentage))

  # download
  indicator_data_df <- Quandl::Quandl(indicator_id)

  # rename columns
  colnames(indicator_data_df) <- c("Date", "Value")

  # reorder rows
  indicator_data_df <- indicator_data_df[order(indicator_data_df$Date), ]

  # enhance
  indicator_data_df$Indicator <- indicator_name
  indicator_data_df$StartDate <- min(indicator_data_df$Date, na.rm = TRUE)
  indicator_data_df$PctChange <- indicator_data_df$Value / dplyr::lag(indicator_data_df$Value, 1) - 1

  if (is_percentage) {
    indicator_data_df$Value <- indicator_data_df$Value / 100
  }

  # reorder columns
  indicator_data_df <- indicator_data_df[c("Indicator", "Date", "StartDate", "Value", "PctChange")]

  # return downloaded data
  return(indicator_data_df)
}

# ==============================================================================
# CDI
# ==============================================================================
#' @rdname download_indicator_quandl
#' @export
download_indicator_cdi_daily <- function() {
  download_indicator_quandl("BCB/12", "CDI-Daily")
}

#' @rdname download_indicator_quandl
#' @export
download_indicator_cdi_monthly <- function() {
  download_indicator_quandl("BCB/4391", "CDI-Monthly")
}

# ==============================================================================
# IBOVESPA
# ==============================================================================
#' @rdname download_indicator_quandl
#' @export
download_indicator_ibovespa_daily <- function() {
  download_indicator_quandl("BCB/7", "IBOVESPA-Daily", is_percentage = FALSE)
}

# ==============================================================================
# IPCA
# ==============================================================================
#' @rdname download_indicator_quandl
#' @export
download_indicator_ipca_accumulated <- function() {
  download_indicator_quandl("BCB/13522", "IPCA-Accumulated")
}

#' @rdname download_indicator_quandl
#' @export
download_indicator_ipca_monthly <- function() {
  download_indicator_quandl("BCB/433", "IPCA-Monthly")
}

# ==============================================================================
# SELIC
# ==============================================================================
#' @rdname download_indicator_quandl
#' @export
download_indicator_selic_daily <- function() {
  download_indicator_quandl("BCB/11", "SELIC-Daily")
}

#' @rdname download_indicator_quandl
#' @export
download_indicator_selic_monthly <- function() {
  download_indicator_quandl("BCB/4390", "SELIC-Monthly")
}

# ==============================================================================
# TJLP
# ==============================================================================
#' @rdname download_indicator_quandl
#' @export
download_indicator_tjlp_monthly <- function() {
  download_indicator_quandl("BCB/7815", "TJLP-Monthly")
}