timelyportfolio / jgb data.r

Created October 16, 2012


    
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            #get Japan yield data from the Ministry of Finance Japan
#data goes back to 1974
 
require(latticeExtra)
require(xtsExtra)
 
url <- "http://www.mof.go.jp/english/jgbs/reference/interest_rate/"
filenames <- paste("jgbcme",c("","_2010","_2000-2009","_1990-1999","_1980-1989","_1974-1979"),".csv",sep="")
 
#load all data and combine into one jgb data.frame
jgb <- read.csv(paste(url,filenames[1],sep=""),stringsAsFactors=FALSE)
for (i in 2:length(filenames)) {
  jgb <- rbind(jgb,read.csv(paste(url,"/historical/",filenames[i],sep=""),stringsAsFactors=FALSE))
}
 
#now clean up the jgb data.frame to make a jgb xts
jgb.xts <- as.xts(data.matrix(jgb[,2:NCOL(jgb)]),order.by=as.Date(jgb[,1]))
 
plot.xts(jgb.xts,ylim=c(0,12),screens=1,las=1)
plot.xts(jgb.xts,ylim=c(0,12),screens=c(rep(1,5),rep(2,5),rep(3,5)),las=1)
 
#use lattice to do the same thing
#for the sake of time will do final formatting here
xyplot(jgb.xts,col=brewer.pal("Blues",n=9)[5:9],
       ylim=c(0,12),
       screens=c(rep(1,5),rep(2,5),rep(3,5)),
       lattice.options=theEconomist.opts(),
       par.settings=theEconomist.theme(box="transparent"),
       scale=list(y=list(rot=0)),
       strip=strip.custom(factor.levels=c("1-5 Year","5-10 Year","10-40 Year"),style=5),
       main="Japanese Government Bonds Since 1974")