Chalenges to create US Treasury Curve

[wilsonfreitas]

Create US Treasury Curve with data from Quandl.

Here we have the spot rate curve.

Issues to adress:

• [x] terms with different units: consider having a vector for units
• [x] filter NA rates: is.na solves
• [x] convert term units: from years to days, from days to years, from days to months, so on

Here it shows the current state to build US Treasury Curve. The big issue relies on the creation of the term.

library(Quandl)

yc_all <- Quandl("USTREASURY/YIELD",
  api_key = "nJ1NhTYdEs2p3MsS4CVd"
)

library(purrr)
library(stringr)
library(fixedincome)
library(tidyverse)

yc <- yc_all |> filter(Date == "2008-12-31")

nx <- names(yc)
terms_names <- nx[-1]
terms_names <- str_replace(terms_names, "MO", "months") |>
  str_replace("YR", "years")
curve_terms <- map(terms_names, as.term)
dc <- daycount("actual/360")
terms <- curve_terms |>
  map_dbl(\(x) dib(dc) * toyears(dc, x)) |>
  term("days")

rates <- yc[1, -1] |>
  as.list() |>
  as.numeric()

rates <- rates / 100
ix <- !is.na(rates)

tr_curve <- spotratecurve(
  rates[ix], terms[ix],
  "simple", "actual/360", "actual"
)

[wilsonfreitas]

Done ea6263d2518bb794d4f0c9d1ade66f5a996b2684

[wilsonfreitas]

Now the code becomes

library(Quandl)
library(tidyverse)

yc_all <- Quandl("USTREASURY/YIELD")

refdate <- as.Date("2022-02-04")
yc <- yc_all |> filter(Date == refdate)
nx <- names(yc)
terms_names <- nx[-1]
terms_names <- terms_names |>
  str_replace("MO", "months") |>
  str_replace("YR", "years")

curve_terms <- as.term(terms_names)

rates <- yc[1, -1] |>
  as.list() |>
  as.numeric()
rates <- rates / 100
ix <- !is.na(rates)

tr_curve <- spotratecurve(
  rates[ix], curve_terms[ix],
  "simple", "actual/360", "actual",
  refdate = refdate
)