Created
October 16, 2012 02:28
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what if 10 year goes to 0
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require(quantmod) | |
require(PerformanceAnalytics) | |
require(RQuantLib) | |
require(latticeExtra) | |
getSymbols("DGS10",src="FRED") | |
GS10 <- to.monthly(DGS10)[,4] | |
getSymbols("GS10",src="FRED") | |
#Fed monthly series of yields is the monthly average of daily yields | |
#set index to yyyy-mm-dd format rather than to.monthly mmm yyy for better merging later | |
index(GS10)<-as.Date(index(GS10)) | |
#add next month as 0% | |
GS10 <- rbind(GS10,as.xts(0,order.by=as.Date("2012-10-01"))) | |
GS10pricereturn<-GS10 | |
GS10pricereturn[1,1]<-0 | |
colnames(GS10pricereturn)<-"PriceReturn-monthly avg GS10" | |
#use quantlib to price the GS10 and BAA bonds from monthly yields | |
#GS10 and BAA series are 20-30 year bonds so will advance date by 25 years | |
for (i in 1:(NROW(GS10)-1)) { | |
GS10pricereturn[i+1,1]<-FixedRateBondPriceByYield(yield=GS10[i+1,1]/100,issueDate=Sys.Date(), | |
maturityDate= advance("UnitedStates/GovernmentBond", Sys.Date(), 10, 3), | |
rates=GS10[i,1]/100,period=2)[1]/100-1 | |
} | |
#total return will be the price return + yield/12 for one month | |
GS10totalreturn<-GS10pricereturn+lag(GS10,k=1)/12/100 | |
colnames(GS10totalreturn)<-"TotalReturn-monthly avg GS10" | |
GS10totalreturn[1,1] <- 0 | |
GS10cumul <- cumprod(GS10totalreturn+1) | |
asTheEconomist(xyplot(GS10cumul,scales=list(y=list(rot=0)), | |
main="US 10 Year Cumulative Growth since 1954")) | |
asTheEconomist(xyplot(log(GS10cumul), | |
scales=list(y=list(rot=0)), | |
main="US 10 Year Cumulative Growth (log scale) since 1954")) | |
asTheEconomist(xyplot(ROC(GS10cumul,12, type = "discrete"), | |
scales=list(y=list(rot=0)), | |
main="US 10 Year 12 Month Total Return since 1954")) | |
roc <- ROC(GS10,12,type="discrete") | |
asTheEconomist(xyplot(roc["::2012-09-01"], | |
scales=list(y=list(rot=0)), | |
main="US 10 Year 12 Month % Change in Yield since 1954")) | |
roc["2012-10-01"] <- -1 | |
asTheEconomist(xyplot(roc, | |
scales=list(y=list(rot=0)), | |
main="US 10 Year 12 Month % Change in Yield (with 0% for October 2012) since 1954")) | |
plot.zoo(GS10) | |
asTheEconomist(xyplot(diff(GS10,6), | |
scales=list(y=list(rot=0)), | |
main="US 10 Year 6 Month Change in Yield since 1954")) |
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