How to use GetTDData
Suppose you need financial data (prices and yields) for a bond of type LTN with a maturity date equal to 2016-01-01. This bullet bond is the most basic debt contract the Brazilian government issues. It does not pay any value (coupon) during its lifetime and will pay 1000 R$ at maturity.
In order to get the data, all you need to do is to run the following code in R:
library(GetTDData)
asset.codes <- 'LTN' # Identifier of assets
maturity <- '010116' # Maturity date as string (ddmmyy)
my.flag <- download.TD.data(asset.codes = asset.codes)
my.df <- read.TD.files(asset.codes = asset.codes,
maturity = maturity)Let’s plot the prices to check if the code worked well.
library(ggplot2)
p <- ggplot(data = my.df, aes(x = as.Date(ref.date), y = price.bid, color = asset.code))
p <- p + geom_line(size = 1) + scale_x_date() + labs(title = '', x = 'Dates')
print(p)
As expected, the prices from this bond will converge to its face value, 1000 R$, at the maturity date (2016-01-01). We can also look at its time-varying annual yield:
p <- ggplot(data = my.df, aes(x = as.Date(ref.date), y = yield.bid, color = asset.code))
p <- p + geom_line(size = 1) + scale_x_date()+ labs(title = '', x = 'Dates' )
print(p)
The functions in GetTDData also work with multiple arguments as asset.codes and maturity. Suppose we wanted to look at the prices of all available maturities for bonds of type LTN. All we need to do is to add the value NULL to the argument maturity:
library(GetTDData)
library(ggplot2)
asset.codes <- 'LTN' # Name of asset
maturity <- NULL # = NULL, downloads all maturities
# download data
my.flag <- download.TD.data(asset.codes = asset.codes,
do.clean.up = F)
# reads data
my.df <- read.TD.files(asset.codes = asset.codes,
maturity = maturity)Once the data is downloaded, we can plot the prices of the different debt contracts:
# plot data (prices)
p <- ggplot(data = my.df, aes(x = as.Date(ref.date), y = price.bid, color = asset.code))
p <- p + geom_line() + scale_x_date() + labs(title = '', x = 'Dates', y = 'Prices' )
print(p)
# plot data (yields)
p <- ggplot(data = my.df, aes(x = as.Date(ref.date), y = yield.bid, color = asset.code))
p <- p + geom_line() + scale_x_date() + labs(title = '', x = 'Dates', y = 'Yields' )
print(p)