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

May you live in interesting times

Yield curve shapes and changes in shape often presage changes in the economy and/or the securities markets. Here are some examples of yield curves during some recent interesting times.

knitr::opts_chunk$set(collapse=TRUE,                # hadley
                      comment = "#>",               # hadley
                      error=TRUE, purl=FALSE,       # to be able to see errors
                      fig.width=7.25, fig.height=6) # nice-sized pictures

library(ustreasuries)

all_data = CMTrates()

PrintYieldCurves(dplyr::filter(all_data, 
                                 all_data$NEW_DATE>=as.Date("1999-01-01") &
                                 all_data$NEW_DATE<=as.Date("2001-12-31")), 
                 rows=c(1, 272, 272*2, as.integer(272*2.5),as.integer(272*2.75)), 
                 title="Yield Curves Before & During the Dot-Com Bust")

ltcm_period <- dplyr::filter(all_data, 
                                 all_data$NEW_DATE>=as.Date("1996-06-01") &
                                 all_data$NEW_DATE<=as.Date("1999-03-01"))

nrows <- nrow(ltcm_period)
bits  <- as.integer(nrows/5)

PrintYieldCurves(ltcm_period, 
                 rows=c(1, bits, 2*bits, 3*bits, 4*bits, nrows), 
                 title="1997 Asia Crisis, 1998 Russia Crisis & LTCM Collapse")

PrintYieldCurves(dplyr::filter(all_data, 
                                   all_data$NEW_DATE>=as.Date("2006-01-01") &
                                   all_data$NEW_DATE<=as.Date("2009-12-31")), 
                 rows=c(1, 272, 272*2, 272*3), 
                 title="Yield Curves Before & During the Financial Crisis", tabprt=TRUE)

last_three_years <- dplyr::filter(all_data, 
                                    all_data$NEW_DATE>=Sys.Date()-365*3 &
                                    all_data$NEW_DATE<=Sys.Date())

days_per_year <- round(nrow(last_three_years)/3,digits=0)
rows          <- c(1, days_per_year, days_per_year*2, nrow(last_three_years))

PrintYieldCurves(last_three_years, 
                 rows  = rows, 
                 title = "Yield Curves For The Last Three Years")

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