Created
July 24, 2012 18:28
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spain stocks and bonds
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#analyze asset allocation experience in Spain | |
require(lattice) | |
require(latticeExtra) | |
require(reshape2) | |
require(directlabels) | |
require(quantmod) | |
require(PerformanceAnalytics) | |
require(RQuantLib) | |
data <- read.csv("spain stocks and bond from bloomberg.csv",stringsAsFactors=FALSE) | |
spainstock <- na.omit(as.xts(as.numeric(data[2:NROW(data),2]),order.by=as.Date(data[2:NROW(data),1],"%m/%d/%Y"))) | |
colnames(spainstock) <- "SpainStocks.IBEX" | |
spainbond <- na.omit(as.xts(as.numeric(data[2:NROW(data),5]),order.by=as.Date(data[2:NROW(data),4],"%m/%d/%Y"))) | |
colnames(spainbond) <- "SpainBonds.10y" | |
spainbondpricereturn<-spainbond | |
spainbondpricereturn[1,1]<-0 | |
colnames(spainbondpricereturn)<-"SpainBond.10y.Price" | |
#use quantlib to price the Spanish bonds from yields | |
#these are 10 year bonds so will advance date by 10 years | |
#we can just use US/GovtBond calendar | |
for (i in 1:(NROW(spainbond)-1)) { | |
spainbondpricereturn[i+1,1]<-FixedRateBondPriceByYield(yield=spainbond[i+1,1]/100,issueDate=Sys.Date(), | |
maturityDate= advance("UnitedStates/GovernmentBond", Sys.Date(), 10, 3), | |
rates=spainbond[i,1]/100,period=2)[1]/100-1 | |
} | |
#merge returns | |
spain.return <- na.omit(merge(spainbondpricereturn,ROC(spainstock,type="discrete",n=1))) | |
#get drawdowns | |
spain.drawdown <- Drawdowns(spain.return) | |
#get in melted data.frame for lattice | |
spain.drawdown.df <- as.data.frame(cbind(index(spain.drawdown),coredata(spain.drawdown))) | |
spain.drawdown.melt <- melt(spain.drawdown.df,id.vars=1) | |
colnames(spain.drawdown.melt) <- c("date","series","drawdown") | |
spain.drawdown.melt[,"date"] <- as.Date(spain.drawdown.melt[,"date"]) | |
#plot drawdowns | |
direct.label(asTheEconomist( | |
xyplot(drawdown~date,groups=series,data=spain.drawdown.melt, | |
main="Spain - Drawdown of Stocks and Bonds (source: Bloomberg)")), | |
list("last.points",hjust=1,vjust=0,cex=1.2)) |
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