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even more jgb yield charts with r and lattice

More JGB Yield Charts with R and Lattice

See the post

Replicate in r by downloading the .rmd and using knitr

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<h2>JGB Yields - Just a Couple More</h2>

<p>See <a href="">the last post for all the details</a>.  I just could not help creating a couple more.</p>

<h3>Variations on Favorite Plot - Time Series Line of JGB Yields by Maturity</h3>

<pre><code class="r">p2 &lt;- xyplot(value ~ date | indexname, data = jgb.melt, 
    type = &quot;l&quot;, layout = c(length(unique(jgb.melt$indexname)), 
        1), panel = function(x, y, ...) {
        panel.abline(h = c(min(y), max(y)))
        panel.xyplot(x = x, y = y, ...)
        panel.text(x = x[length(x)/2], y = max(y), 
            labels = levels(jgb.melt$indexname)[panel.number()], 
            cex = 0.7, pos = 3)
    }, scales = list(x = list(tck = c(1, 0), alternating = 1), 
        y = list(tck = c(1, 0), lwd = c(0, 1))), strip = FALSE, 
    par.settings = list(axis.line = list(col = 0)), 
    xlab = NULL, ylab = &quot;Yield&quot;, main = &quot;JGB Yields by Maturity Since Jan 2012&quot;)
p2 &lt;- p2 + layer(panel.abline(h = pretty(jgb.melt$value), 
    lty = 3))
p2
</code></pre>

<pre><code class="r">
jgb.xts.diff &lt;- jgb.xts[&quot;2012::&quot;, ] - matrix(rep(jgb.xts[&quot;2012::&quot;, 
    ][1, ], NROW(jgb.xts[&quot;2012::&quot;, ])), ncol = NCOL(jgb.xts), 
    byrow = TRUE)
jgb.diff.melt &lt;- xtsMelt(jgb.xts.diff)
jgb.diff.melt$date &lt;- as.Date(jgb.diff.melt$date)
jgb.diff.melt$value &lt;- as.numeric(jgb.diff.melt$value)
jgb.diff.melt$indexname &lt;- factor(jgb.diff.melt$indexname, 
    levels = colnames(jgb.xts))

p4 &lt;- xyplot(value ~ date | indexname, data = jgb.diff.melt, 
    type = &quot;h&quot;)

update(p2, ylim = c(min(jgb.diff.melt$value), max(jgb.melt$value) + 
    0.5)) + p4
</code></pre>

<pre><code class="r">
update(p2, ylim = c(min(jgb.diff.melt$value), max(jgb.melt$value) + 
    0.5), par.settings = list(axis.line = list(col = &quot;gray70&quot;))) + 
    update(p4, panel = function(x, y, col, ...) {
        # do color scale from red(negative) to
        # blue(positive)
        cc.palette &lt;- colorRampPalette(c(brewer.pal(&quot;Reds&quot;, 
            n = 9)[7], &quot;white&quot;, brewer.pal(&quot;Blues&quot;, 
            n = 9)[7]))
        cc.levpalette &lt;- cc.palette(20)
        cc.levels &lt;- level.colors(y, at = do.breaks(c(-0.3, 
            0.3), 20), col.regions = cc.levpalette)
        panel.xyplot(x = x, y = y, col = cc.levels, 
            ...)
    })
</code></pre>

p5 &lt;- horizonplot(value ~ date | indexname, data = jgb.diff.melt, 
    layout = c(1, length(unique(jgb.diff.melt$indexname))), 
    scales = list(x = list(tck = c(1, 0))), xlab = NULL, 
    ylab = NULL)

p5
</code></pre>

<pre><code class="r">
update(p2, ylim = c(0, max(jgb.melt$value) + 0.5), 
    panel = panel.xyplot) + p5 + update(p2, ylim = c(0, 
    max(jgb.melt$value)))
</code></pre>

<h3>Variations on Yield Curve Evolution with Opacity Color Scale</h3>

<pre><code class="r"># add alpha to colors
addalpha &lt;- function(alpha = 180, cols) {
    rgbcomp &lt;- col2rgb(cols)
    rgbcomp[4] &lt;- alpha
    return(rgb(rgbcomp[1], rgbcomp[2], rgbcomp[3], 
        rgbcomp[4], maxColorValue = 255))
}

p3 &lt;- xyplot(value ~ indexname, group = date, data = jgb.melt, 
    type = &quot;l&quot;, lwd = 2, col = sapply(400/(as.numeric(Sys.Date() - 
        jgb.melt$date) + 1), FUN = addalpha, cols = brewer.pal(&quot;Blues&quot;, 
        n = 9)[7]), main = &quot;JGB Yield Curve Evolution Since Jan 2012&quot;)

p3 &lt;- update(asTheEconomist(p3), scales = list(x = list(cex = 0.7))) + 
    layer(panel.text(x = length(levels(jgb.melt$indexname)), 
        y = 0.15, label = &quot;source: Japanese Ministry of Finance&quot;, 
        col = &quot;gray70&quot;, font = 3, cex = 0.8, adj = 1))

# make point rather than line
update(p3, type = &quot;p&quot;)
</code></pre>

<pre><code class="r">
# make point with just most current curve as line
update(p3, type = &quot;p&quot;) + xyplot(value ~ indexname, 
    data = jgb.melt[which(jgb.melt$date == max(jgb.melt$date)), 
        ], type = &quot;l&quot;, col = brewer.pal(&quot;Blues&quot;, n = 9)[7])
</code></pre>

<h3>Replicate Me with <a href="https://gist.github.com/timelyportfolio/5586468">code at Gist</a></h3>

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