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README.Rmd
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---
output:
md_document:
variant: markdown_github
---
```{r, echo = FALSE}
knitr::opts_chunk$set(
collapse = TRUE,
comment = "#>",
fig.path = "README-"
)
```
ustreasuries [](https://zenodo.org/badge/latestdoi/5738/grfiv/ustreasuries)
===============
### US Treasury Bond Data
* Real-Time downloads of
* daily Constant-Maturity Treasury (CMT) yields from 1962 to the most-recently completed business day
* daily prices for 400 Treasury securities (FedInvest) from 2010 to the most-recently completed business day
### Bond Analysis
Several models such as Nelson Seigel and Svensson are provided
**Veronesi** <sup>[Veronesi](#Veronesi)</sup> examples derived with code and live bond data
### Derivative Analysis
Drawing primarily on **Hull, 7th edition** <sup>[Hull](#Hull)</sup> *ustreasuries* includes many options-pricing models, all the Greeks and a number of utility functions, all of which have examples from Hull which demonstrate that they work correctly.
--------------------------------------------------------------------------------
### Wiki
See the [GitHub Wiki](https://github.com/grfiv/ustreasuries/wiki) for examples of the use of all the functions.
### Functions
* **Treasury Rate Data**
* **CMTrates** downloads real-time daily CMT data from 1962
* **PrintYieldCurves** prints one or more CMT yield curves
* **APY** converts Constant-Maturity Treasury (CMT) yields to Annualized
Percentage Yields (APY)
* **FedInvestData** downloads real-time treasury bond price data from 2010
* **CoerceFedInvest_xts** Turn FedInvest data into a time series
* **Black-Scholes-Merton**
* **EuroCall** Calculate the price of a European call option with or without dividends
* **EuroPut** Calculate the price of a European put option with or without dividends
* **EuroCallVol** Implied Volatility for a European Call option
* **EuroPutlVol** Implied Volatility for a European Put option
* **Greeks**
* **DeltaCall** Amount call-option price changes given a change in asset price
* **DeltaPut** Amount put-option price changes given a change in asset price
* **ThetaCall** the decay in the value of a call or a portfolio of calls as time passes
* **ThetaPut** the decay in the value of a put or a portfolio of puts as time passes
* **Gamma** the change in Delta with respect to asset price
* **Vega** the sensitivity to changes in the volatility of the underlying
* **RhoCall** the sensitivity to changes in the risk-free rate of return
* **RhoPut** the sensitivity to changes in the risk-free rate of return
* **Utility Functions**
* **Bonds**
* **NSzeros** Convert Nelson Seigel and Svensson rates to Z(0, T)
* **Zbootstrap** Derive Z(0, T_i) using the bootstrap method
* **spot_rate** Derive spot rate from Z(0, T) and T
* **CAGR**
* **CAGR** Calculate Compound Annual Growth Rate; geometric or continuous
* **r_continuous** Convert from discrete to continuous
* **r_discrete** Convert from continuous to discrete
* **Discount Factors**
* **discount_factor** Calculate discount factor Z(t, T)
* **interest_rate** Calculate annualized interest rate r(t, T) from a discount factor Z(t, T)
* **Put/Call Parity**
* **CallParity** Convert from a put-option price using put/call parity
* **PutParity** Convert from a call-option price using put/call parity
* **Risk Neutral/Forwards**
* **RiskNeutralProb** Binomial tree risk-neutral probability
* **ForwardPrice** Forward price with or without income or yield
* **ForwardRate** Forward rate from Time1 to Time2 (discrete compounding)
* **Options**
* **IntrinsicValueCall** / **IntrinsicValuePut** the in-the-money portion of an option's premium
* **TimeValueCall** / **TimeValuePut** Price = Intrinsic + Time
* **InTheMoneyCall** / **InTheMoneyPut** Is an option in the money?
* **Equities**
* **SP500** Daily S&P 500 data from 1950
* **SP500TR** Daily S&P 500 Total Return data from 1988
* **Installed but not yet tested or documented**
* Digital
* **CashCall**
* **CashPut**
* **AssetCall**
* **AssetPut**
* Greeks
* **RhoFuturesCall**
* **RhoFuturesPut**
* **RhoFXCall**
* **RhoFXPut**
* American
* **American_Put_Binomial**
* **American_Call_Dividend**
#### All of the derivatives functions have examples drawn from **Hull, 7th edition** <sup>[Hull](#Hull)</sup> to demonstrate their correctness.
See https://github.com/grfiv/BlackScholesMerton for these functions written in Python and Excel VBA
See also http://www.philadelphia-reflections.com/topic/230.htm
## Installation
We're not on CRAN yet; get the development version from GitHub:
```R
# see https://github.com/hadley/devtools for the
# best procedure to install *devtools* on your
# system; Windows in particular has somewhat
# complicated requirements
devtools::install_github("grfiv/treasuries")
# Notes:
# 1. Add 'build_vignettes=TRUE' to include vignettes
# (recommended, but a current version of pandoc is required)
# 2. add 'auth_token="..."' if you get a 404
# contact the author for this
# 3. if you receive a message about corrupt databases or fetch(key),
# restarting R will fix the problem;
# these appear to be issues with devtools 1.10.0.9000
```
## References
<a name="Back">[Back]</a>:
Back, K., *A Course in Derivative Securities* 2005 Springer Finance ISBN 9783540253734
<a name="Consiglio">[Consiglio]</a>:
Consiglio A. and Guirreri S.S. *Simulating the Term Structure of Interest Rates with
arbitrary marginals*. International Journal of Risk Assessment and Management, 15(4),
September 2011.
<a name="Hull">[Hull]</a>:
Hull, J., *Options, Futures and Other Derivatives Seventh Edition* 2008 Pearson/Prentice Hall ISBN 9780136015864
<a name="CMT">[CMT]</a>:
US Dept. of Treasury Daily Treasury Yield Curve Rates
https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield
<a name="H15">[H15]</a>:
US Federal Reserve Board Data Download Program
http://www.federalreserve.gov/datadownload/Choose.aspx?rel=H15
<a name="Varma">[Varma]</a>:
Varma, J. *jrvFinance* v1.03 (https://github.com/jrvarma/jrvFinance)
<a name="Veronesi">[Veronesi]</a>:
Veronesi P., *Fixed Income Securities* 2010 John Wiley & Sons ISBN 9780470109106
<a name="MDC">[MDC]</a>:
Wall Street Journal Market Data Center
http://online.wsj.com/mdc/public/page/mdc_bonds.html?mod=mdc_topnav_2_3010