ustreasuries: US Treasury bond analysis

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

Description

The ustreasuries package downloads daily Constant-Maturity Treasury (CMT) yields and provides visualizations & analytics that use that data including all the 'greeks' for derivative analysis.

GitHub Wiki

https://github.com/grfiv/ustreasuries/wiki

Vignettes

• summary Overview of package functionality

• veronesi-ch02 Examples and figures from Veronesi, Ch2

• cmt-rates a description of Constant Maturity and Annualized Percentage rates

• yield-curves examples of downloading the data and printing yield curves for interesting periods in recent financial history.

• plot-10year a plot of the 10-year from 1962 to present

• utilities examples of the utility functions

• black-scholes-merton examples of options pricing

Functions

• Treasury Rate Data

  • CMTrates downloads real-time daily CMT data from 1962

    • PrintYieldCurves prints one or more 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 for a change in asset price

  • DeltaPut Amount put-option price changes for 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 The in-the-money portion of a call option's premium

    • IntrinsicValuePut The in-the-money portion of a put option's premium

    • TimeValueCall Price = Intrinsic + Time

    • TimeValuePut Price = Intrinsic + Time

    • InTheMoneyCall Is a call in the money?

    • InTheMoneyPut Is a put 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 and documented

  • Digital

    • CashCall

    • CashPut

    • AssetCall

    • AssetPut

  • Greeks

    • RhoFuturesCall

    • RhoFuturesPut

    • RhoFXCall

    • RhoFXPut

  • American

    • American_Put_Binomial

    • American_Call_Dividend

Installation

## Windows users STOP: see https://github.com/hadley/devtools

install.packages("devtools")

devtools::install_github("grfiv/ustreasuries", build_vignettes=TRUE)

## NOTE: If you get a 404 on installation, contact the author for the 'auth_token' parameter

(restart R)

Author(s)

George Fisher [e-mail]

References

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

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

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

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

Varma, J. jrvFinance v1.03 https://github.com/jrvarma/jrvFinance

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

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

Examples

# example of US Treasury rate data download
# =========================================
all_data <- CMTrates()
tail(all_data)
# ==================================================
# last row displayed should be for last business day
# ==================================================

# example of option pricing
# =========================
# Hull 7th edition Ch 13 P 294
Stock     <- 42    # S_0
Exercise  <- 40    # K
Time      <- 0.50  # T
Interest  <- 0.10  # r
Yield     <- 0     # q
sigma     <- 0.20
ans <- EuroCall(Stock, Exercise, Time, Interest, Yield, sigma)
round(ans,2) # 4.76

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