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 ^Veronesi examples derived with code and live bond data

Derivative Analysis

Drawing primarily on Hull, 7th edition ^Hull 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.

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Wiki

See the GitHub 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 ^Hull 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:

# 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

[Back]: Back, K., A Course in Derivative Securities 2005 Springer Finance ISBN 9783540253734

[Consiglio]: 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.

[Hull]: Hull, J., Options, Futures and Other Derivatives Seventh Edition 2008 Pearson/Prentice Hall ISBN 9780136015864

[CMT]: 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

[H15]: US Federal Reserve Board Data Download Program http://www.federalreserve.gov/datadownload/Choose.aspx?rel=H15

[Varma]: Varma, J. jrvFinance v1.03 (https://github.com/jrvarma/jrvFinance)

[Veronesi]: Veronesi P., Fixed Income Securities 2010 John Wiley & Sons ISBN 9780470109106

[MDC]: Wall Street Journal Market Data Center http://online.wsj.com/mdc/public/page/mdc_bonds.html?mod=mdc_topnav_2_3010