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Visualization of yield curves is fairly relevant and the package
fixedincome brings the usual plot
function to create plots
with the SpotRateCurve objects and also a ggplot2 set of methods that
helps with the visualization of the term structures using all ggplot2
features.
Before the start let’s get the necessary packages loaded.
As the second step, the yield curve must be created and this is done with data from {rb3} package.
refdate <- as.Date("2022-08-09")
yc_ <- yc_get(refdate)
fut_ <- futures_get(refdate)
yc_ss <- yc_superset(yc_, fut_)
yc <- bind_rows(
yc_ss |> slice(1),
yc_ss |> filter(!is.na(symbol))
) |>
filter(!duplicated(biz_days))
curve <- spotratecurve(
yc$r_252, yc$biz_days, "discrete", "business/252", "Brazil/ANBIMA",
refdate = refdate
)
base::plot
ggspotratecurveplot(curve,
title = "DI1 spot rates", subtitle = format(refdate), caption = "Data from {rb3} package"
)
ggspotratecurveplot(curve,
title = "DI1 spot rates", subtitle = format(refdate), caption = "Data from {rb3} package",
curve.x.axis = "terms"
)
ggspotratecurveplot(curve,
title = "DI1 spot rates", subtitle = format(refdate), caption = "Data from {rb3} package"
) +
autolayer(forwardrate(curve), size = 1)
ggspotratecurveplot(curve_2y,
title = "DI1 spot rates", subtitle = format(refdate), caption = "Data from {rb3} package",
curve.interpolation = TRUE
)
autoplot(curve_2y, curve.geom = "point") +
autolayer(curve_2y, curve.geom = "line", curve.name = "Interpolation", curve.interpolation = TRUE)
terms_ <- do.call(seq, as.list(range(curve_2y@terms)))
curve_2y_interp <- curve_2y[[terms_]]
autoplot(curve_2y, curve.geom = "point") +
autolayer(curve_2y_interp, curve.geom = "line") +
autolayer(forwardrate(curve_2y_interp),
curve.geom = "line", curve.name = "Forward Rate"
)
refdate2 <- as.Date("2022-03-09")
yc_ <- yc_get(refdate2)
fut_ <- futures_get(refdate2)
yc_ss <- yc_superset(yc_, fut_)
yc <- bind_rows(
yc_ss |> slice(1),
yc_ss |> filter(!is.na(symbol))
) |>
filter(!duplicated(biz_days))
curve2 <- spotratecurve(
yc$r_252, yc$biz_days, "discrete", "business/252", "Brazil/ANBIMA",
refdate = refdate2
)
ggspotratecurveplot(curve,
title = "DI1 spot rates", caption = "Data from {rb3} package",
curve.x.axis = "terms"
) +
autolayer(curve2, curve.x.axis = "terms", size = 1) +
autolayer(curve2, curve.geom = "point", curve.x.axis = "terms", size = 2)
curve2_2y <- curve2 |> fixedincome::first("2 years")
ggspotratecurveplot(curve_2y,
title = "DI1 spot rates", caption = "Data from {rb3} package",
curve.x.axis = "terms"
) +
autolayer(curve2_2y, curve.x.axis = "terms", size = 1) +
autolayer(curve2_2y, curve.geom = "point", curve.x.axis = "terms", size = 2)
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.