README.md

In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

ustreasuries

US Treasury Bond Data

• Real-Time downloads of
  • daily Constant-Maturity Treasury (CMT) yields from 1962 to the most-recently completed business day
  • daily prices for 400 Treasury securities (FedInvest) from 2010 to the most-recently completed business day

Bond Analysis

Several models such as Nelson Seigel and Svensson are provided

Veronesi Veronesi examples derived with code and live bond data

Derivative Analysis

Drawing primarily on Hull, 7th edition Hull ustreasuries includes many options-pricing models, all the Greeks and a number of utility functions, all of which have examples from Hull which demonstrate that they work correctly.

Wiki

See the GitHub Wiki for examples of the use of all the functions.

Functions

• Treasury Rate Data
  • CMTrates downloads real-time daily CMT data from 1962
    • PrintYieldCurves prints one or more CMT yield curves
    • APY converts Constant-Maturity Treasury (CMT) yields to Annualized Percentage Yields (APY)
  • FedInvestData downloads real-time treasury bond price data from 2010
    • CoerceFedInvest_xts Turn FedInvest data into a time series
• Black-Scholes-Merton
  • EuroCall Calculate the price of a European call option with or without dividends
  • EuroPut Calculate the price of a European put option with or without dividends
  • EuroCallVol Implied Volatility for a European Call option
  • EuroPutlVol Implied Volatility for a European Put option
• Greeks
  • DeltaCall Amount call-option price changes given a change in asset price
  • DeltaPut Amount put-option price changes given a change in asset price
  • ThetaCall the decay in the value of a call or a portfolio of calls as time passes
  • ThetaPut the decay in the value of a put or a portfolio of puts as time passes
  • Gamma the change in Delta with respect to asset price
  • Vega the sensitivity to changes in the volatility of the underlying
  • RhoCall the sensitivity to changes in the risk-free rate of return
  • RhoPut the sensitivity to changes in the risk-free rate of return
• Utility Functions
  • Bonds
    • NSzeros Convert Nelson Seigel and Svensson rates to Z(0, T)
    • Zbootstrap Derive Z(0, T_i) using the bootstrap method
    • spot_rate Derive spot rate from Z(0, T) and T
  • CAGR
    • CAGR Calculate Compound Annual Growth Rate; geometric or continuous
    • r_continuous Convert from discrete to continuous
    • r_discrete Convert from continuous to discrete
  • Discount Factors
    • discount_factor Calculate discount factor Z(t, T)
    • interest_rate Calculate annualized interest rate r(t, T) from a discount factor Z(t, T)
  • Put/Call Parity
    • CallParity Convert from a put-option price using put/call parity
    • PutParity Convert from a call-option price using put/call parity
  • Risk Neutral/Forwards
    • RiskNeutralProb Binomial tree risk-neutral probability
    • ForwardPrice Forward price with or without income or yield
    • ForwardRate Forward rate from Time1 to Time2 (discrete compounding)
  • Options
    • IntrinsicValueCall / IntrinsicValuePut the in-the-money portion of an option's premium
    • TimeValueCall / TimeValuePut Price = Intrinsic + Time
    • InTheMoneyCall / InTheMoneyPut Is an option in the money?
  • Equities
    • SP500 Daily S&P 500 data from 1950
    • SP500TR Daily S&P 500 Total Return data from 1988
• Installed but not yet tested or documented
  • Digital
    • CashCall
    • CashPut
    • AssetCall
    • AssetPut
  • Greeks
    • RhoFuturesCall
    • RhoFuturesPut
    • RhoFXCall
    • RhoFXPut
  • American
    • American_Put_Binomial
    • American_Call_Dividend

All of the derivatives functions have examples drawn from Hull, 7th edition Hull to demonstrate their correctness.

See https://github.com/grfiv/BlackScholesMerton for these functions written in Python and Excel VBA

See also http://www.philadelphia-reflections.com/topic/230.htm

Installation

We're not on CRAN yet; get the development version from GitHub:

# see https://github.com/hadley/devtools for the
# best procedure to install *devtools* on your
# system; Windows in particular has somewhat
# complicated requirements

devtools::install_github("grfiv/treasuries")

# Notes: 
#    1. Add 'build_vignettes=TRUE' to include vignettes 
#       (recommended, but a current version of pandoc is required)
#    2. add 'auth_token="..."' if you get a 404
#       contact the author for this
#    3. if you receive a message about corrupt databases or fetch(key), 
#       restarting R will fix the problem;
#       these appear to be issues with devtools 1.10.0.9000

References

[Back]: Back, K., A Course in Derivative Securities 2005 Springer Finance ISBN 9783540253734

[Consiglio]: Consiglio A. and Guirreri S.S. Simulating the Term Structure of Interest Rates with arbitrary marginals. International Journal of Risk Assessment and Management, 15(4), September 2011.

[Hull]: Hull, J., Options, Futures and Other Derivatives Seventh Edition 2008 Pearson/Prentice Hall ISBN 9780136015864

[CMT]: US Dept. of Treasury Daily Treasury Yield Curve Rates https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield

[H15]: US Federal Reserve Board Data Download Program http://www.federalreserve.gov/datadownload/Choose.aspx?rel=H15

[Varma]: Varma, J. jrvFinance v1.03 (https://github.com/jrvarma/jrvFinance)

[Veronesi]: Veronesi P., Fixed Income Securities 2010 John Wiley & Sons ISBN 9780470109106

[MDC]: Wall Street Journal Market Data Center http://online.wsj.com/mdc/public/page/mdc_bonds.html?mod=mdc_topnav_2_3010

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.