Mortage

Copy from: MORTGAGE RATES IN THE 21ST CENTURY

df2 <- df.rates %>% spread(symbol,price)


knitr::kable(head(df2,10))

Then we can group by this date variable and compute averages of the daily Treasury yields.

Make the code more readable by creating a fucntion

myr0 <- function(x, a= 0.02){
  geo_ribbon(alpha = a, 
             color =NA, 
             aes(ymin=0, ymax=min(x,!!var)))
}

myr <- function(x, a= 0.02){
  geom_ribbon(alpha =a , 
              color =NA,
              aes(ymin-min(x,!!var)))
}

Yield Curve Plot

Animation

oopt<-ani.options(interval=1/10)
suppressMessages(
  saveGIF({for (i in i.start:N){
  g<- myplotf(i)
  print(g)
  print(paste(i-i.start+1,"out of",N-i.start))
    ani.pause()
  }
    for (ii in 1:20){
      print(g)
      ani.pause()
      print(paste(ii,"out of",20))
    }
  }, movie.name = "ycv2_2018.gif",  ani.width=1200, ani.height=1200)  # set YOURDIRECTORY where you want to save file
)

[1] "1 out of 127"
[1] "2 out of 127"
[1] "3 out of 127"
[1] "4 out of 127"
[1] "5 out of 127"
[1] "6 out of 127"
[1] "7 out of 127"
[1] "8 out of 127"
[1] "9 out of 127"
[1] "10 out of 127"
[1] "11 out of 127"
[1] "12 out of 127"
[1] "13 out of 127"
[1] "14 out of 127"
[1] "15 out of 127"
[1] "16 out of 127"
[1] "17 out of 127"
[1] "18 out of 127"
[1] "19 out of 127"
[1] "20 out of 127"
[1] "21 out of 127"
[1] "22 out of 127"
[1] "23 out of 127"
[1] "24 out of 127"
[1] "25 out of 127"
[1] "26 out of 127"
[1] "27 out of 127"
[1] "28 out of 127"
[1] "29 out of 127"
[1] "30 out of 127"
[1] "31 out of 127"
[1] "32 out of 127"
[1] "33 out of 127"
[1] "34 out of 127"
[1] "35 out of 127"
[1] "36 out of 127"
[1] "37 out of 127"
[1] "38 out of 127"
[1] "39 out of 127"
[1] "40 out of 127"
[1] "41 out of 127"
[1] "42 out of 127"
[1] "43 out of 127"
[1] "44 out of 127"
[1] "45 out of 127"
[1] "46 out of 127"
[1] "47 out of 127"
[1] "48 out of 127"
[1] "49 out of 127"
[1] "50 out of 127"
[1] "51 out of 127"
[1] "52 out of 127"
[1] "53 out of 127"
[1] "54 out of 127"
[1] "55 out of 127"
[1] "56 out of 127"
[1] "57 out of 127"
[1] "58 out of 127"
[1] "59 out of 127"
[1] "60 out of 127"
[1] "61 out of 127"
[1] "62 out of 127"
[1] "63 out of 127"
[1] "64 out of 127"
[1] "65 out of 127"
[1] "66 out of 127"
[1] "67 out of 127"
[1] "68 out of 127"
[1] "69 out of 127"
[1] "70 out of 127"
[1] "71 out of 127"
[1] "72 out of 127"
[1] "73 out of 127"
[1] "74 out of 127"
[1] "75 out of 127"
[1] "76 out of 127"
[1] "77 out of 127"
[1] "78 out of 127"
[1] "79 out of 127"
[1] "80 out of 127"
[1] "81 out of 127"
[1] "82 out of 127"
[1] "83 out of 127"
[1] "84 out of 127"
[1] "85 out of 127"
[1] "86 out of 127"
[1] "87 out of 127"
[1] "88 out of 127"
[1] "89 out of 127"
[1] "90 out of 127"
[1] "91 out of 127"
[1] "92 out of 127"
[1] "93 out of 127"
[1] "94 out of 127"
[1] "95 out of 127"
[1] "96 out of 127"
[1] "97 out of 127"
[1] "98 out of 127"
[1] "99 out of 127"
[1] "100 out of 127"
[1] "101 out of 127"
[1] "102 out of 127"
[1] "103 out of 127"
[1] "104 out of 127"
[1] "105 out of 127"
[1] "106 out of 127"
[1] "107 out of 127"
[1] "108 out of 127"
[1] "109 out of 127"
[1] "110 out of 127"
[1] "111 out of 127"
[1] "112 out of 127"
[1] "113 out of 127"
[1] "114 out of 127"
[1] "115 out of 127"
[1] "116 out of 127"
[1] "117 out of 127"
[1] "118 out of 127"
[1] "119 out of 127"
[1] "120 out of 127"
[1] "121 out of 127"
[1] "122 out of 127"
[1] "123 out of 127"
[1] "124 out of 127"
[1] "125 out of 127"
[1] "126 out of 127"
[1] "127 out of 127"
[1] "128 out of 127"
[1] "1 out of 20"
[1] "2 out of 20"
[1] "3 out of 20"
[1] "4 out of 20"
[1] "5 out of 20"
[1] "6 out of 20"
[1] "7 out of 20"
[1] "8 out of 20"
[1] "9 out of 20"
[1] "10 out of 20"
[1] "11 out of 20"
[1] "12 out of 20"
[1] "13 out of 20"
[1] "14 out of 20"
[1] "15 out of 20"
[1] "16 out of 20"
[1] "17 out of 20"
[1] "18 out of 20"
[1] "19 out of 20"
[1] "20 out of 20"
[1] FALSE

Further study and modification

• [ ] Change the theme for wsj, bbg, nyt and economists;
• [ ] Understand the scripts and make it more readble;
• [ ] Change the plot to ploty?