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XFGseries (R 2.13.1)

Display spread curves for the time period: 1 January 1999 to 19 May 2004. Note: The time period differs from XFG book.

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Author:

Awdesch Melzer, Germar Knoechlein

Published in:

Applied Quantitative Finance

Submitted:

Tue, July 10 2012 by Dedy Dwi Prastyo

Usage:

-

Datafiles:

INA2.txt, INAAA.txt, INB2.txt, INBB2.txt, INBBB2.txt, USTF.txt

Example:

Description: -

Sourcecode:

rm(list=ls(all=TRUE))
graphics.off()
  USTF = read.table("USTF.txt")
  INAAA = read.table("INAAA.txt")
  INA2 = read.table("INA2.txt")
  INBBB2 = read.table("INBBB2.txt")
  INBB2 = read.table("INBB2.txt")
  INB2 = read.table("INB2.txt")
  SINAAA = INAAA-USTF 
  SINA2 = INA2 - USTF
  SINBBB2 = INBBB2 - USTF
  SINBB2 = INBB2 - USTF
  SINB2 = INB2 - USTF
  xmin = 60             # first observation
  xmax = nrow(SINAAA)   # last observation
  x = (xmin:xmax)       # dummy variable
  # Plot
par(mfrow=c(2,3)) 
  z1 = plot(x,SINAAA[xmin:xmax,3], type="l", col="green4", lwd=1.7, ylab="Spread in %", xlab="Day", main="1Y-Spread (AAA, A2, BBB2, BB2, B2)", ylim=c(0,8.2), frame=T,axes=F)
  lines(x, SINA2[xmin:xmax,3],col="red3", lwd=1.7)
  lines(x, SINBBB2[xmin:xmax,3],col="blue", lwd=1.7)
  lines(x, SINBB2[xmin:xmax,3],col="black", lwd=1.7)  
  lines(x, SINB2[xmin:xmax,3],col="magenta", lwd=1.7)
  axis(side=1, at=seq(0,2000,500),labels=seq(0,2000,500))
  axis(side=2, at=seq(0,10,2),labels=seq(0,10,2)) 
  z1 = plot(x,SINAAA[xmin:xmax,4],  type="l", col="green4", lwd=1.7, ylab="Spread in %", xlab="Day", main="2Y-Spread (AAA, A2, BBB2, BB2, B2)", ylim=c(0,8.2), frame=T,axes=F)
  lines(x, SINA2[xmin:xmax,4],col="red3", lwd=1.7)
  lines(x, SINBBB2[xmin:xmax,4],col="blue", lwd=1.7)
  lines(x, SINBB2[xmin:xmax,4],col="black", lwd=1.7)  
  lines(x, SINB2[xmin:xmax,4],col="magenta", lwd=1.7)  
  axis(side=1, at=seq(0,2000,500),labels=seq(0,2000,500))
  axis(side=2, at=seq(0,10,2),labels=seq(0,10,2))  
  z1 = plot(x,SINAAA[xmin:xmax,5],  type="l", col="green4", lwd=1.7, ylab="Spread in %", xlab="Day", main="3Y-Spread (AAA, A2, BBB2, BB2, B2)", ylim=c(0,8.2), frame=T,axes=F)
  lines(x, SINA2[xmin:xmax,5],col="red3", lwd=1.7)
  lines(x, SINBBB2[xmin:xmax,5],col="blue", lwd=1.7)
  lines(x, SINBB2[xmin:xmax,5],col="black", lwd=1.7)  
  lines(x, SINB2[xmin:xmax,5],col="magenta", lwd=1.7)  
  axis(side=1, at=seq(0,2000,500),labels=seq(0,2000,500))
  axis(side=2, at=seq(0,10,2),labels=seq(0,10,2))      
  z1 = plot(x,SINAAA[xmin:xmax,7], type="l", col="green4", lwd=1.7, ylab="Spread in %", xlab="Day", main="5Y-Spread (AAA, A2, BBB2, BB2, B2)", ylim=c(0,8.2), frame=T,axes=F)
  lines(x, SINA2[xmin:xmax,7],col="red3", lwd=1.7)
  lines(x, SINBBB2[xmin:xmax,7],col="blue", lwd=1.7)
  lines(x, SINBB2[xmin:xmax,7],col="black", lwd=1.7)  
  lines(x, SINB2[xmin:xmax,7],col="magenta", lwd=1.7)  
  axis(side=1, at=seq(0,2000,500),labels=seq(0,2000,500))
  axis(side=2, at=seq(0,10,2),labels=seq(0,10,2))      
  z1 = plot(x,SINAAA[xmin:xmax,8], type="l", col="green4", lwd=1.7, ylab="Spread in %", xlab="Day", main="7Y-Spread (AAA, A2, BBB2, BB2, B2)", ylim=c(0,8.2), frame=T,axes=F)
  lines(x, SINA2[xmin:xmax,8],col="red3", lwd=1.7)
  lines(x, SINBBB2[xmin:xmax,8],col="blue", lwd=1.7)
  lines(x, SINBB2[xmin:xmax,8],col="black", lwd=1.7)  
  lines(x, SINB2[xmin:xmax,8],col="magenta", lwd=1.7)  
  axis(side=1, at=seq(0,2000,500),labels=seq(0,2000,500))
  axis(side=2, at=seq(0,10,2),labels=seq(0,10,2))
  z1 = plot(x,SINAAA[xmin:xmax,9], type="l", col="green4", lwd=1.7, ylab="Spread in %", xlab="Day", main="10Y-Spread (AAA, A2, BBB2, BB2, B2)", ylim=c(0,8.2), frame=T,axes=F)
  lines(x, SINA2[xmin:xmax,9],col="red3", lwd=1.7)
  lines(x, SINBBB2[xmin:xmax,9],col="blue", lwd=1.7)
  lines(x, SINBB2[xmin:xmax,9],col="black", lwd=1.7)  
  lines(x, SINB2[xmin:xmax,9],col="magenta", lwd=1.7)  
  axis(side=1, at=seq(0,2000,500),labels=seq(0,2000,500))
  axis(side=2, at=seq(0,10,2),labels=seq(0,10,2))