scripts/testplots.R

In jcizel/SovereignCrisis: What the package does (one line)

imf <- getIMFIFS()
attributes(imf)$colnames
o <-
    summarizeDataAvailability(dt = imf)

ratings <- getSPRatings()
cds <- getBloombergSovCDS()
spreads <- getSovBondSpreads()
alt <- getAltmanZscore()
summarizeDataAvailability(alt)

plotDefinition =
    list('ratingnum' =
             list(data = ratings,
                  y = 'ratingnum',
                  ylabel = 'S&P Sovereign Credit Rating',
                  idCol = 'iso3'),
         'cds' =
             list(data = cds,
                  y = 'cds',
                  ylabel = '5-Year Sovereign CDS Spread',
                  idCol = 'iso3'),
         'spread' =
             list(data = spreads,
                  y = 'spread',
                  ylabel = 'Sovereign Bond Yield Spread',
                  idCol = 'iso3'),
         'bop' =
             list(data = imf,
                  y = 'L78CB&D',
                  ylabel = 'BOP',
                  idCol = 'iso3'),
         'alt' =
             list(data = alt,
                  y = 'zscorepd75',
                  ylabel = 'ZScore PD (75th perc.)',
                  idCol = 'iso3'))

undebug(plotSovBenchmarks)
plotSovBenchmarks(isoSel = "ESP",
                  crisisdb = alternativeCrisisDB(),
                  crisistype = 'ratingdrop',
                  limits = as.Date(c('1995-01-01','2013-12-01')),
                  filename = '~/Downloads/test.pdf',
                  width = 320,
                  height = 420,
                  plotDefinition = plotDefinition)


## -------------------------------------------------------------------------- ##
## CHECK DENSITY PLOTS AROUND EVENT                                           ##
## -------------------------------------------------------------------------- ##
alt <- getAltmanZscore()
crisis <- alternativeCrisisDB()
bench <- getSovBenchmarks()

dt <- augmentBenchmarkDataset()
## undebug(.fCrDates)
## undebug(plotDensityAroundCrisisEvents)
plotDensityAroundCrisisEvents(crisisdb = loadCrisisDB(),                              
                              crisisType = "debtcrisis",
                              adjust = TRUE,
                              filename = './inst/RESULTS/plotSovereignBenchmarkDens.pdf',                            
                              plotDefinition =
                                  list('ratingnum' =
                                           list(x = 'ratingnum',
                                                xlabel = 'S&P Sovereign Credit Rating'),
                                       'cds' =
                                           list(x = 'cds',
                                                xlabel = '5-Year Sovereign CDS Spread'),
                                       'spread' =
                                           list(x = 'spread',
                                                xlabel = 'Sovereign Bond Yield Spread'),
                                       'zscorepd75' =
                                           list(x = 'zscorepd75',
                                                xlabel = "")),
                              groups =
                                  list("[-4:-1]"=expression(COUNTDOWN %between% c(-4,-1)),
                                       "[0]"=expression(COUNTDOWN == 0),
                                       "[1:4]"=expression(COUNTDOWN %between% c(1,4))))


plotDensityAroundCrisisEvents(crisisdb = alternativeCrisisDB(),                              
                              crisisType = "ratingdrop",
                              adjust = TRUE,
                              filename = '~/Downloads/test.pdf',   
                              plotDefinition =
                                  list('ratingnum' =
                                           list(x = 'ratingnum',
                                                xlabel = 'S&P Sovereign Credit Rating'),
                                       'cds' =
                                           list(x = 'cds',
                                                xlabel = '5-Year Sovereign CDS Spread'),
                                       'spread' =
                                           list(x = 'spread',
                                                xlabel = 'Sovereign Bond Yield Spread'),
                                       'zscorepd75' =
                                           list(x = 'zscorepd75',
                                                xlabel = "")),
                              groups =
                                  list("[-4:-1]"=expression(COUNTDOWN %between% c(-4,-1)),
                                       "[0]"=expression(COUNTDOWN == 0),
                                       "[1:4]"=expression(COUNTDOWN %between% c(1,4))))


## -------------------------------------------------------------------------- ##
## TRY WITH WORLD BANK DATA                                                   ##
## -------------------------------------------------------------------------- ##
require(doParallel)
require(foreach)
q <- WorldBankAPI:::queryWorldBankVariableList('.+')
o <- WorldBankAPI:::getWorldBankDataSeries(indicators = q$id)
unique(o[country.id == 'US'])
dt <- unique(o[indicator.id == 'GC.XPN.INTP.RV.ZS'])
dt[,iso3 := .lookupISOCode(query = country.id)]

## debug(plotDensityAroundCrisisEvents)
plotDensityAroundCrisisEvents(crisisdb = loadCrisisDB(),                              
                              crisisType = "debtcrisis",
                              adjust = TRUE,
                              filename = '~/Downloads/test.pdf',
                              dtList =
                                  list('wb' = dt,
                                       'imf' = getIMFIFS()),
                              plotDefinition =
                                  list(
                                      list(x = 'value',
                                           xlabel = unique(dt$indicator.value)),
                                      list(x = 'L1C&S',
                                           xlabel = 'Use of Funds')),
                              groups =
                                  list("[-4:-1]"=expression(COUNTDOWN %between% c(-4,-1)),
                                       "[0]"=expression(COUNTDOWN == 0),
                                       "[1:4]"=expression(COUNTDOWN %between% c(1,4))))


undebug(plotEventStudy)
plotEventStudy(crisisdb = loadCrisisDB(),                              
               crisisType = "debtcrisis",
               adjust = TRUE,
               filename = '~/Downloads/test.pdf',
               dtList =
                   list('wb' = dt,
                        'rrdebt' = getRR.debt(),
                        'imf' = getIMFIFS()),
               plotDefinition =
                   list(                       
                       list(y = 'value',
                            ylabel = unique(dt$indicator.value)),
                       list(y = 'DE_G_GDP_COMP',
                            ylabel = 'Debt to GDP'),
                       list(y = 'DT.DOD.DIMF.CD',
                            ylabel = 'Use of Funds')),
               groups =
                   list("[-4:-1]"=expression(COUNTDOWN %between% c(-4,-1)),
                        "[0]"=expression(COUNTDOWN == 0),
                        "[1:4]"=expression(COUNTDOWN %between% c(1,4))))