bond skew.r

require(quantmod)
require(PerformanceAnalytics)

#load my barclays agg file
#if you do not have access to Barclays Agg return then you can
#use VBMFX as a proxy
portfolio <- read.csv("C:\\Users\\Kent.TLEAVELL_NT\\Documents\\old\\R\\barclaysagg.csv",stringsAsFactors=FALSE)
portfolio <- portfolio[2:(NROW(portfolio)-1),2:NCOL(portfolio)]
portfolio <- portfolio[,c(1,4)]
#since export has duplicate colnames we need to remove the .1 added
#colnames(portfolio) <- substr(colnames(portfolio),1,nchar(colnames(portfolio))-2)
#transform to get in appropriate xts form
len <- nchar(portfolio[,1])
xtsdate <- paste(substr(portfolio[,1],len-3,len),"-",
                 ifelse(len==9,"0",""),substr(portfolio[,1],1,len-8),"-01",sep="")
portfolio.xts <- xts(data.matrix(portfolio[,2:NCOL(portfolio)]),order.by=as.Date(xtsdate))
portfolio.xts <- portfolio.xts/100
portfolio.xts[1,]<-0


#########start skew analysis################################################
colnames(portfolio.xts) <- "BarclaysAgg"
#get rolling skew
skew <- apply.rolling(portfolio.xts[,1],FUN=skewness,width=36,by=1)
#combine skew with ROC
skew.roc <- merge(skew,
                ROC(apply(portfolio.xts[,1]+1,MARGIN=2,FUN=cumprod),type="discrete",n=36))
colnames(skew.roc)<-c("skew","roc")
#plot skew and roc
chart.TimeSeries(skew.roc, main="Barclays US Aggregate Skew and ROC (Rolling 36-month)",
                 legend.loc="topright")