tag:blogger.com,1999:blog-3226608712819159992.post2840161119487988856..comments2024-03-06T16:56:02.337+11:00Comments on Mark the Graph: More gloomMark Graphhttp://www.blogger.com/profile/10462713733051104779noreply@blogger.comBlogger5125tag:blogger.com,1999:blog-3226608712819159992.post-49807986840698928132012-07-23T15:44:12.360+10:002012-07-23T15:44:12.360+10:00Thanks for the feedback - I will adjust the y-labe...Thanks for the feedback - I will adjust the y-label for next time. And I will probably present as basis points just to make it a little cleaner.Mark Graphhttps://www.blogger.com/profile/10462713733051104779noreply@blogger.comtag:blogger.com,1999:blog-3226608712819159992.post-8692110129126178492012-07-23T14:38:35.470+10:002012-07-23T14:38:35.470+10:00OK, got it!
I was confused by the y-axis label: &...OK, got it!<br /><br />I was confused by the y-axis label: "(3/2yr + 5/3yr + 10/5yr)"<br /><br />I read "3/2" to mean 3yr rate divided by 2yr rate, but in fact the formula is 2 year rate minus 3 year rate.<br /><br />Thanks.Barking Cathttps://www.blogger.com/profile/05440084848602647177noreply@blogger.comtag:blogger.com,1999:blog-3226608712819159992.post-33240068886475878152012-07-23T14:12:41.437+10:002012-07-23T14:12:41.437+10:00Not sure how this will come out, but here are the ...Not sure how this will come out, but here are the calculations from the f02 dataframe for the current month. Also, should have mentioned that the data comes from the Reserve Bank of Australia - their table F2. <br /><br />#----Date-------inversion-FCMYGBAG2D-FCMYGBAG3D-FCMYGBAG5D-FCMYGBAG10D<br />4417 2012-07-02 0.035 2.525 2.490 2.645 3.090<br />4418 2012-07-03 0.030 2.535 2.505 2.645 3.065<br />4419 2012-07-04 0.030 2.595 2.565 2.700 3.110<br />4420 2012-07-05 0.035 2.500 2.465 2.595 2.995<br />4421 2012-07-06 0.050 2.505 2.455 2.590 3.000<br />4422 2012-07-09 0.055 2.385 2.330 2.465 2.905<br />4423 2012-07-10 0.055 2.380 2.325 2.460 2.895<br />4424 2012-07-11 0.070 2.405 2.335 2.465 2.895<br />4425 2012-07-12 0.075 2.275 2.200 2.330 2.785<br />4426 2012-07-13 0.080 2.290 2.210 2.340 2.795<br />4427 2012-07-16 0.070 2.325 2.255 2.380 2.820<br />4428 2012-07-17 0.070 2.345 2.275 2.395 2.835<br />4429 2012-07-18 0.070 2.345 2.275 2.395 2.835<br />4430 2012-07-19 0.115 2.420 2.305 2.415 2.840<br />4431 2012-07-20 0.120 2.410 2.290 2.400 2.830Mark Graphhttps://www.blogger.com/profile/10462713733051104779noreply@blogger.comtag:blogger.com,1999:blog-3226608712819159992.post-28133975064827844982012-07-23T13:52:33.739+10:002012-07-23T13:52:33.739+10:00The R code for this graph follows ...
### --- loo...The R code for this graph follows ...<br /><br />### --- look for inverted long-term yield curves --- f02<br />ic1 <- ifelse( f02$FCMYGBAG2D-f02$FCMYGBAG3D>0, f02$FCMYGBAG2D-f02$FCMYGBAG3D, 0)<br />ic2 <- ifelse( f02$FCMYGBAG3D-f02$FCMYGBAG5D>0, f02$FCMYGBAG3D-f02$FCMYGBAG5D, 0)<br />ic3 <- ifelse( f02$FCMYGBAG5D-f02$FCMYGBAG10D>0, f02$FCMYGBAG5D-f02$FCMYGBAG10D, 0)<br />f02$inversion <- ic1 + ic2 + ic3<br /><br />frame <- data.frame(headingPost='Medium to Long Term Bond Yields',<br /> series='inversion',<br /> yLabel='Percentage Points (3/2y + 5/3y + 10/5y)')<br />f <- paste(imageDir,'f02-inversion-',sep='')<br /><br />chartSingle(df=f02, graphFrame=frame, saveLocPrefix=f, <br /> plotText=list(heading='Inversion Index: '),<br /> geoms='step',<br /> footnote='Source: RBA Table F2')Mark Graphhttps://www.blogger.com/profile/10462713733051104779noreply@blogger.comtag:blogger.com,1999:blog-3226608712819159992.post-69482716321085087922012-07-23T12:55:16.663+10:002012-07-23T12:55:16.663+10:00Hi there.
Can you show precisely how the index is...Hi there.<br /><br />Can you show precisely how the index is calculated? For example, the Aust Govt bond yields at 20 July for 2, 3, 5 & 10 years are, respectively: 2.41, 2.29, 2.40 & 2.83.<br /><br />Thanks in advance.Barking Cathttps://www.blogger.com/profile/05440084848602647177noreply@blogger.com