L1

Load required packages

library(quantmod)

## Loading required package: xts

## Loading required package: zoo

## 
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':
## 
##     as.Date, as.Date.numeric

## Loading required package: TTR

## Registered S3 method overwritten by 'quantmod':
##   method            from
##   as.zoo.data.frame zoo

library(xts)
library(zoo)
library(dplyr)

## 
## ######################### Warning from 'xts' package ##########################
## #                                                                             #
## # The dplyr lag() function breaks how base R's lag() function is supposed to  #
## # work, which breaks lag(my_xts). Calls to lag(my_xts) that you type or       #
## # source() into this session won't work correctly.                            #
## #                                                                             #
## # Use stats::lag() to make sure you're not using dplyr::lag(), or you can add #
## # conflictRules('dplyr', exclude = 'lag') to your .Rprofile to stop           #
## # dplyr from breaking base R's lag() function.                                #
## #                                                                             #
## # Code in packages is not affected. It's protected by R's namespace mechanism #
## # Set `options(xts.warn_dplyr_breaks_lag = FALSE)` to suppress this warning.  #
## #                                                                             #
## ###############################################################################

## 
## Attaching package: 'dplyr'

## The following objects are masked from 'package:xts':
## 
##     first, last

## The following objects are masked from 'package:stats':
## 
##     filter, lag

## The following objects are masked from 'package:base':
## 
##     intersect, setdiff, setequal, union

Define the date range for Beginning of Term (BoT) and End of Term (EoT)

start_date <- as.Date("2023-05-01")
end_date <- as.Date("2023-09-30")

Initialize the empty data frame

table_data <- data.frame(
    Category = character(),
    Beginning_of_Term = character(),
    End_of_Term = character(),
    Value_Beg = character(),
    Value_End = character(),
    stringsAsFactors = FALSE
)

Function to add a row to the table_data with error handling

add_row <- function(category, value_beg, value_end = "") {
    if (!is.null(value_beg) && !is.na(value_beg) && value_beg != "") {
        value_beg_formatted <- format(value_beg, scientific = FALSE, trim = TRUE)
        value_end_formatted <- format(value_end, scientific = FALSE, trim = TRUE)
        
        new_row <- data.frame(
            Category = category,
            Beginning_of_Term = format(start_date, "%d %B %Y"),
            End_of_Term = format(end_date, "%d %B %Y"),
            Value_Beg = value_beg_formatted,
            Value_End = value_end_formatted,
            stringsAsFactors = FALSE
        )
        table_data <<- rbind(table_data, new_row)  # Update the global table_data
    } else {
        cat("Warning: Data for", category, "is missing or incomplete.\n")
    }
}

Function to fetch data with error handling

get_symbol_data <- function(symbol, src, from, to) {
    tryCatch({
        data <- getSymbols(symbol, src = src, from = from, to = to, auto.assign = FALSE, warnings = FALSE)
        if (is.null(data) || nrow(data) == 0) {
            warning(paste("No data returned for symbol:", symbol))
            return(NULL)
        }
        return(data)
    }, error = function(e) {
        warning(paste("Error fetching data for symbol:", symbol, "-", e$message))
        return(NULL)
    })
}

Function to update data and add rows

update_data <- function() { ### Fetch S&P 500 and Nasdaq data

    sp500_data <- get_symbol_data("^GSPC", "yahoo", start_date, end_date)
    nasdaq_data <- get_symbol_data("^IXIC", "yahoo", start_date, end_date)

    if (!is.null(sp500_data)) {
        sp500_open <- round(as.numeric(first(Op(sp500_data))), 2)
        sp500_close <- round(as.numeric(last(Cl(sp500_data))), 2)
        add_row("S&P 500 Index Level", sp500_open, sp500_close)
    }

    if (!is.null(nasdaq_data)) {
        nasdaq_open <- round(as.numeric(first(Op(nasdaq_data))), 2)
        nasdaq_close <- round(as.numeric(last(Cl(nasdaq_data))), 2)
        add_row("Nasdaq Composite Index Level", nasdaq_open, nasdaq_close)
    }
    prime_rate <- get_symbol_data("DPRIME", "FRED", start_date, end_date)
    fed_funds_rate <- get_symbol_data("FEDFUNDS", "FRED", start_date, end_date)
    commercial_paper_rate <- get_symbol_data("DCPN3M", "FRED", start_date, end_date)  # 3-Month Nonfinancial Commercial Paper Rate
    cd_rate <- get_symbol_data("TB3MS", "FRED", start_date, end_date)  # 3-Month Treasury Bill Secondary Market Rate
    tbill_13wk <- get_symbol_data("DTB3", "FRED", start_date, end_date)
    tbill_26wk <- get_symbol_data("DTB6", "FRED", start_date, end_date)

Extract and add interest rate data

    if (!is.null(prime_rate)) {
        add_row("Prime Rate", round(as.numeric(first(prime_rate)), 2), round(as.numeric(last(prime_rate)), 2))
    }
    if (!is.null(fed_funds_rate)) {
        add_row("Federal Funds Rate", round(as.numeric(first(fed_funds_rate)), 2), round(as.numeric(last(fed_funds_rate)), 2))
    }
    if (!is.null(commercial_paper_rate)) {
        add_row("Commercial Paper Rate (90 days)", round(as.numeric(first(commercial_paper_rate)), 2), round(as.numeric(last(commercial_paper_rate)), 2))
    }

## Warning: Data for Commercial Paper Rate (90 days) is missing or incomplete.

    if (!is.null(cd_rate)) {
        add_row("Certificate of Deposit Rate (3-month)", round(as.numeric(first(cd_rate)), 2), round(as.numeric(last(cd_rate)), 2))
    }
    if (!is.null(tbill_13wk)) {
        add_row("Treasury Bill Rate (13 weeks)", round(as.numeric(first(tbill_13wk)), 2), round(as.numeric(last(tbill_13wk)), 2))
    }
    if (!is.null(tbill_26wk)) {
        add_row("Treasury Bill Rate (26 weeks)", round(as.numeric(first(tbill_26wk)), 2), round(as.numeric(last(tbill_26wk)), 2))
    }

Fetch bond yield data from FRED

    treasury_long_term_yield <- get_symbol_data("GS10", "FRED", start_date, end_date)
    corporate_bond_yield <- get_symbol_data("BAA", "FRED", start_date, end_date)
    high_yield_bond_yield <- get_symbol_data("BAMLH0A0HYM2EY", "FRED", start_date, end_date)

Extract and add bond yield data

    if (!is.null(treasury_long_term_yield)) {
        add_row("Treasury Long-term Bond Yield", round(as.numeric(first(treasury_long_term_yield)), 2), round(as.numeric(last(treasury_long_term_yield)), 2))
    }
    if (!is.null(corporate_bond_yield)) {
        add_row("Corporate (Master) Bond Yield", round(as.numeric(first(corporate_bond_yield)), 2), round(as.numeric(last(corporate_bond_yield)), 2))
    }
    if (!is.null(high_yield_bond_yield)) {
        add_row("High-yield Corporate Bond Yield", round(as.numeric(first(high_yield_bond_yield)), 2), round(as.numeric(last(high_yield_bond_yield)), 2))
    }

Fetch exchange rates

    gbp_usd <- get_symbol_data("GBPUSD=X", "yahoo", start_date, end_date)
    jpy_usd <- get_symbol_data("JPYUSD=X", "yahoo", start_date, end_date)
    mxn_usd <- get_symbol_data("MXNUSD=X", "yahoo", start_date, end_date)

Extract and add exchange rate data

   if (!is.null(gbp_usd)) {
        gbp_beg <- round(as.numeric(first(Cl(gbp_usd))), 4)
        gbp_end <- round(as.numeric(last(Cl(gbp_usd))), 4)
        add_row("Exchange Rate of the British Pound (in $)", gbp_beg, gbp_end)
    }
    if (!is.null(jpy_usd)) {
        jpy_beg <- round(as.numeric(first(Cl(jpy_usd))), 6)
        jpy_end <- round(as.numeric(last(Cl(jpy_usd))), 6)
        add_row("Exchange Rate of the Japanese Yen (in $)", jpy_beg, jpy_end)
    }
    if (!is.null(mxn_usd)) {
        mxn_beg <- round(as.numeric(first(Cl(mxn_usd))), 6)
        mxn_end <- round(as.numeric(last(Cl(mxn_usd))), 6)
        add_row("Exchange Rate of the Mexican Peso (in $)", mxn_beg, mxn_end)
    }

Fetch futures prices

Treasury Bond Futures (Symbol: ZB=F)

  treasury_futures <- get_symbol_data("ZB=F", "yahoo", start_date, end_date)
    if (!is.null(treasury_futures)) {
        treasury_beg <- round(as.numeric(first(Cl(treasury_futures))), 2)
        treasury_end <- round(as.numeric(last(Cl(treasury_futures))), 2)
        add_row("Treasury Bond Futures", treasury_beg, treasury_end)
    }

S&P 500 Index Futures (Symbol: ES=F)

    sp500_futures <- get_symbol_data("ES=F", "yahoo", start_date, end_date)
    if (!is.null(sp500_futures)) {
        sp500_fut_beg <- round(as.numeric(first(Cl(sp500_futures))), 2)
        sp500_fut_end <- round(as.numeric(last(Cl(sp500_futures))), 2)
        add_row("S&P 500 Index Futures", sp500_fut_beg, sp500_fut_end)
    }

British Pound Futures (Symbol: 6B=F)

 bp_futures <- get_symbol_data("6B=F", "yahoo", start_date, end_date)
    if (!is.null(bp_futures)) {
        bp_fut_beg <- round(as.numeric(first(Cl(bp_futures))), 4)
        bp_fut_end <- round(as.numeric(last(Cl(bp_futures))), 4)
        add_row("British Pound Futures", bp_fut_beg, bp_fut_end)
    }

Options Data

Since programmatic access to options data is limited, we’ll manually input the data.

Call Option on a Firm (e.g., Apple Inc. - AAPL)

    call_option_firm <- "AAPL"
    call_option_expiration <- "2024-12-20"
    call_option_strike <- 150  # Example strike price
    call_option_premium <- 10   # Example premium

Get current stock price

    firm_data <- get_symbol_data(call_option_firm, "yahoo", Sys.Date() - 10, Sys.Date() - 1)
    if (!is.null(firm_data)) {
        current_price <- round(as.numeric(last(Cl(firm_data))), 2)
    } else {
        current_price <- "N/A"
    }

Add rows

    add_row(paste("Call Option on", call_option_firm, "- Stock Price"), current_price)
    add_row(paste("Call Option on", call_option_firm, "- Option Premium"), call_option_premium)
    add_row(paste("Call Option on", call_option_firm, "- Strike Price"), call_option_strike)
    add_row(paste("Call Option on", call_option_firm, "- Expiration"), call_option_expiration)

Put Option on a Firm (e.g., Intel Corporation - INTC)

put_option_firm <- "INTC"
    put_option_expiration <- "2024-12-20"
    put_option_strike <- 50
    put_option_premium <- 0.0005

Get current stock price

    firm_data <- get_symbol_data(put_option_firm, "yahoo", Sys.Date() - 10, Sys.Date() - 1)
    if (!is.null(firm_data)) {
        current_price <- round(as.numeric(last(Cl(firm_data))), 2)
    } else {
        current_price <- "N/A"
    }

Add rows

    add_row(paste("Put Option on", put_option_firm, "- Stock Price"), current_price)
    add_row(paste("Put Option on", put_option_firm, "- Option Premium"), put_option_premium)
    add_row(paste("Put Option on", put_option_firm, "- Strike Price"), put_option_strike)
    add_row(paste("Put Option on", put_option_firm, "- Expiration"), put_option_expiration)

Currency Options Data

Call Option on a Foreign Currency (Euro)

    currency_call = "Euro (EURUSD)"
    currency_call_expiration = "2024-12-20"
    currency_call_strike = 1.20
    currency_call_premium = 0.05

Get current exchange rate for EURUSD

    eurusd_data <- get_symbol_data("EURUSD=X", "yahoo", Sys.Date() - 10, Sys.Date() - 1)
    if (!is.null(eurusd_data)) {
        eurusd_price <- round(as.numeric(last(Cl(eurusd_data))), 4)
    } else {
        eurusd_price <- "N/A"
    }

Add rows

    add_row(paste("Call Option on", currency_call, "- Currency Value"), eurusd_price)
    add_row(paste("Call Option on", currency_call, "- Option Premium"), currency_call_premium)
    add_row(paste("Call Option on", currency_call, "- Strike Price"), currency_call_strike)
    add_row(paste("Call Option on", currency_call, "- Expiration"), currency_call_expiration)

Put Option on a Foreign Currency (Japanese Yen)

    currency_put = "Japanese Yen (JPYUSD)"
    currency_put_expiration = "2024-12-20"
    currency_put_strike = 0.0090
    currency_put_premium = 0.0005

Get current exchange rate for JPYUSD

    jpyusd_data <- get_symbol_data("JPYUSD=X", "yahoo", Sys.Date() - 10, Sys.Date() - 1)
    if (!is.null(jpyusd_data)) {
        jpyusd_price <- round(as.numeric(last(Cl(jpyusd_data))), 6)
    } else {
        jpyusd_price <- "N/A"
    }

Add rows

 add_row(paste("Put Option on", currency_put, "- Currency Value"), jpyusd_price)
    add_row(paste("Put Option on", currency_put, "- Option Premium"), currency_put_premium)
    add_row(paste("Put Option on", currency_put, "- Strike Price"), currency_put_strike)
    add_row(paste("Put Option on", currency_put, "- Expiration"), currency_put_expiration)

Display the data frame with proper formatting

print(table_data, right = FALSE)

##    Category                                             Beginning_of_Term
## 1  S&P 500 Index Level                                  01 May 2023      
## 2  Nasdaq Composite Index Level                         01 May 2023      
## 3  Prime Rate                                           01 May 2023      
## 4  Federal Funds Rate                                   01 May 2023      
## 5  Certificate of Deposit Rate (3-month)                01 May 2023      
## 6  Treasury Bill Rate (13 weeks)                        01 May 2023      
## 7  Treasury Bill Rate (26 weeks)                        01 May 2023      
## 8  Treasury Long-term Bond Yield                        01 May 2023      
## 9  Corporate (Master) Bond Yield                        01 May 2023      
## 10 High-yield Corporate Bond Yield                      01 May 2023      
## 11 Exchange Rate of the British Pound (in $)            01 May 2023      
## 12 Exchange Rate of the Japanese Yen (in $)             01 May 2023      
## 13 Exchange Rate of the Mexican Peso (in $)             01 May 2023      
## 14 Treasury Bond Futures                                01 May 2023      
## 15 S&P 500 Index Futures                                01 May 2023      
## 16 British Pound Futures                                01 May 2023      
## 17 Call Option on AAPL - Stock Price                    01 May 2023      
## 18 Call Option on AAPL - Option Premium                 01 May 2023      
## 19 Call Option on AAPL - Strike Price                   01 May 2023      
## 20 Call Option on AAPL - Expiration                     01 May 2023      
## 21 Put Option on INTC - Stock Price                     01 May 2023      
## 22 Put Option on INTC - Option Premium                  01 May 2023      
## 23 Put Option on INTC - Strike Price                    01 May 2023      
## 24 Put Option on INTC - Expiration                      01 May 2023      
## 25 Call Option on Euro (EURUSD) - Currency Value        01 May 2023      
## 26 Call Option on Euro (EURUSD) - Option Premium        01 May 2023      
## 27 Call Option on Euro (EURUSD) - Strike Price          01 May 2023      
## 28 Call Option on Euro (EURUSD) - Expiration            01 May 2023      
## 29 Put Option on Japanese Yen (JPYUSD) - Currency Value 01 May 2023      
## 30 Put Option on Japanese Yen (JPYUSD) - Option Premium 01 May 2023      
## 31 Put Option on Japanese Yen (JPYUSD) - Strike Price   01 May 2023      
## 32 Put Option on Japanese Yen (JPYUSD) - Expiration     01 May 2023      
##    End_of_Term       Value_Beg  Value_End
## 1  30 September 2023 4166.79    4288.05  
## 2  30 September 2023 12210.05   13219.32 
## 3  30 September 2023 8          8.5      
## 4  30 September 2023 5.06       5.33     
## 5  30 September 2023 5.14       5.32     
## 6  30 September 2023 5.1        5.32     
## 7  30 September 2023 4.91       5.32     
## 8  30 September 2023 3.57       4.38     
## 9  30 September 2023 5.77       6.16     
## 10 30 September 2023 8.25       8.8      
## 11 30 September 2023 1.2558     1.2205   
## 12 30 September 2023 0.007332   0.006696 
## 13 30 September 2023 0.055582   0.057016 
## 14 30 September 2023 129.66     113.78   
## 15 30 September 2023 4185.75    4325.5   
## 16 30 September 2023 1.2491     1.2207   
## 17 30 September 2023 255.59              
## 18 30 September 2023 10                  
## 19 30 September 2023 150                 
## 20 30 September 2023 2024-12-20          
## 21 30 September 2023 20.3                
## 22 30 September 2023 0.0005              
## 23 30 September 2023 50                  
## 24 30 September 2023 2024-12-20          
## 25 30 September 2023 1.0423              
## 26 30 September 2023 0.05                
## 27 30 September 2023 1.2                 
## 28 30 September 2023 2024-12-20          
## 29 30 September 2023 0.006341            
## 30 30 September 2023 0.0005              
## 31 30 September 2023 0.009               
## 32 30 September 2023 2024-12-20

L1

Igor Droś

2024

Load required packages

Define the date range for Beginning of Term (BoT) and End of Term (EoT)

Initialize the empty data frame

Function to add a row to the table_data with error handling

Function to fetch data with error handling

Function to update data and add rows

Extract and add interest rate data

Fetch bond yield data from FRED

Extract and add bond yield data

Fetch exchange rates

Extract and add exchange rate data

Fetch futures prices

Treasury Bond Futures (Symbol: ZB=F)

S&P 500 Index Futures (Symbol: ES=F)

British Pound Futures (Symbol: 6B=F)

Options Data

Since programmatic access to options data is limited, we’ll manually input the data.

Call Option on a Firm (e.g., Apple Inc. - AAPL)

Get current stock price

Add rows

Put Option on a Firm (e.g., Intel Corporation - INTC)

Get current stock price

Add rows

Currency Options Data

Call Option on a Foreign Currency (Euro)

Get current exchange rate for EURUSD

Add rows

Put Option on a Foreign Currency (Japanese Yen)

Get current exchange rate for JPYUSD

Add rows

Display the data frame with proper formatting