## ----include = FALSE----------------------------------------------------------
knitr::opts_chunk$set(collapse = TRUE, comment = "#>")
library(yrnd)

## ----setup--------------------------------------------------------------------
library(yrnd)

## -----------------------------------------------------------------------------
stir_future_price( c(1.44500, 1.32000, 1.19750, 1.07500, 0.95750,
0.84250, 0.78750, 0.73250, 0.68000, 0.62750, 0.57750, 0.53000, 0.48500,
0.44000, 0.39750, 0.35750, 0.32000, 0.28500, 0.25250, 0.22250, 0.19500,
0.17000, 0.14750, 0.12750, 0.10750, 0.09250, 0.07750, 0.06500, 0.05500,
0.04500, 0.03750, 0.03000, 0.02500, 0.02000, 0.01500, 0.01250, 0.01000,
0.00750, 0.00500, 0.00500, 0.00250, 0.00250, 0.00250, 0.00250,
rep(0.00024, 47)),
c(seq(93.25, 93.875, 0.125),  seq(93.9375, 98.8125, 0.0625),
seq(98.875, 99.5, 0.125)),
c(0.0025, 0.0050, 0.0075, 0.0125, 0.0175, 0.0300, 0.0350, 0.0425, 0.0525,
0.0625, 0.0750, 0.0900, 0.1050, 0.1225, 0.1425, 0.1650, 0.1900, 0.2175,
0.2450, 0.2775, 0.3125, 0.3500, 0.3875, 0.4300, 0.4725, 0.5175, 0.5675,
0.6150, 0.6675, 0.7200, 0.7750, 0.8300, 0.8850, 0.9425, 1.0025, 1.0625,
1.1225, 1.1825, 1.2425, 1.3050, 1.3675, 1.4300, 1.4925, 1.5550, 1.6175,
1.6800, 1.7425, 1.8050, 1.8675, 1.9300, 1.9925, 2.0550, 2.1175, 2.1800,
2.2425, 2.3050, 2.3675, 2.4300, 2.4925, 2.5550, 2.6175, 2.6800, 2.7425,
2.8050, 2.8675, 2.9300, 2.9925, 3.0550, 3.1175, 3.1800, 3.2425, 3.3050,
3.3675, 3.4300, 3.4925, 3.5550, 3.6175, 3.6800, 3.7425, 3.8050, 3.8675,
3.9300, 3.9925, 4.0550, 4.1175, 4.1800, 4.3050, 4.4300, 4.5550, 4.6800,
4.8050),
c(seq(93.25, 93.875, 0.125),  seq(93.9375, 98.8125, 0.0625),
seq(98.875, 99.5, 0.125)),
2,
0.0537,
1,
3,
94.7,
as.Date("2024-02-29"),
as.Date("2024-02-25"),
as.Date("2023-12-18"),
"fed_fund_rate",
"USD")

## -----------------------------------------------------------------------------
stir_rate( c(1.44500, 1.32000, 1.19750, 1.07500, 0.95750,
0.84250, 0.78750, 0.73250, 0.68000, 0.62750, 0.57750, 0.53000, 0.48500,
0.44000, 0.39750, 0.35750, 0.32000, 0.28500, 0.25250, 0.22250, 0.19500,
0.17000, 0.14750, 0.12750, 0.10750, 0.09250, 0.07750, 0.06500, 0.05500,
0.04500, 0.03750, 0.03000, 0.02500, 0.02000, 0.01500, 0.01250, 0.01000,
0.00750, 0.00500, 0.00500, 0.00250, 0.00250, 0.00250, 0.00250,
rep(0.00024, 47)),
c(seq(93.25, 93.875, 0.125),  seq(93.9375, 98.8125, 0.0625),
seq(98.875, 99.5, 0.125)),
c(0.0025, 0.0050, 0.0075, 0.0125, 0.0175, 0.0300, 0.0350, 0.0425,
0.0525, 0.0625, 0.0750, 0.0900, 0.1050, 0.1225, 0.1425, 0.1650, 0.1900,
0.2175, 0.2450, 0.2775, 0.3125, 0.3500, 0.3875, 0.4300, 0.4725, 0.5175,
0.5675, 0.6150, 0.6675, 0.7200, 0.7750, 0.8300, 0.8850, 0.9425, 1.0025,
1.0625, 1.1225, 1.1825, 1.2425, 1.3050, 1.3675, 1.4300, 1.4925, 1.5550,
1.6175, 1.6800, 1.7425, 1.8050, 1.8675, 1.9300, 1.9925, 2.0550, 2.1175,
2.1800, 2.2425, 2.3050, 2.3675, 2.4300, 2.4925, 2.5550, 2.6175, 2.6800,
2.7425, 2.8050, 2.8675, 2.9300, 2.9925, 3.0550, 3.1175, 3.1800, 3.2425,
3.3050, 3.3675, 3.4300, 3.4925, 3.5550, 3.6175, 3.6800, 3.7425, 3.8050,
3.8675, 3.9300, 3.9925, 4.0550, 4.1175, 4.1800, 4.3050, 4.4300, 4.5550,
4.6800, 4.8050),
c(seq(93.25, 93.875, 0.125),  seq(93.9375, 98.8125, 0.0625),
seq(98.875, 99.5, 0.125)),
2,
0.0537,
1,
3,
94.7,
as.Date("2024-02-29"),
as.Date("2024-02-25"),
as.Date("2023-12-18"),
"fed_fund_rate",
"USD")

## -----------------------------------------------------------------------------
bond_future_price(c(10.39,9.92,9.46,9.00,8.55,8.10,7.66,7.23,
6.81,6.39,5.98,5.58,5.20,4.82,4.46,4.10,3.76,3.44,3.13,2.83,2.56,
2.29,2.05,1.82,1.61,1.42,1.25,1.09,0.95,0.82,0.71,0.61,0.53,0.45,
0.38,0.33,0.28,0.23,0.20,0.17,0.14,0.12,0.10,0.08),
seq(106, 127.5, 0.5),
c(0.22,0.25,0.29,0.33,0.38,0.43,0.49,0.56,0.64,0.72,0.81,0.91,
1.03,1.15,1.29, 1.43,1.59,1.77,1.96,2.16,2.39,2.62,2.88,3.15,
3.44,3.75,4.08, 4.42,4.78,5.15,5.54,5.94,6.36,6.78,7.21,7.66,
8.11,8.56,9.03, 9.50,9.97,10.45,10.93,11.41),
seq(106, 127.5, 0.5),
2,
0.0344,
1,
3,
as.Date("2033-11-01"),
116.17,
as.Date("2024-12-10"),
as.Date("2024-11-22"),
as.Date("2024-06-14"),
"Italian",
"EUR")

## -----------------------------------------------------------------------------
ctd_bond_yield(c(10.39,9.92,9.46,9.00,8.55,8.10,7.66,7.23,
6.81,6.39,5.98,5.58,5.20,4.82,4.46,4.10,3.76,3.44,3.13,2.83,2.56,
2.29,2.05,1.82,1.61,1.42,1.25,1.09,0.95,0.82,0.71,0.61,0.53,0.45,
0.38,0.33,0.28,0.23,0.20,0.17,0.14,0.12,0.10,0.08),
seq(106, 127.5, 0.5),
c(0.22,0.25,0.29,0.33,0.38,0.43,0.49,0.56,0.64,0.72,0.81,0.91,
1.03,1.15,1.29, 1.43,1.59,1.77,1.96,2.16,2.39,2.62,2.88,3.15,
3.44,3.75,4.08, 4.42,4.78,5.15,5.54,5.94,6.36,6.78,7.21,7.66,
8.11,8.56,9.03, 9.50,9.97,10.45,10.93,11.41),
seq(106, 127.5, 0.5),
2,
0.0344,
0.035,
1,
3,
0.893,
0.0435, 
as.Date("2033-11-01"),
2,
100,
2,
116.17,
as.Date("2024-12-10"),
as.Date("2024-11-22"),
as.Date("2024-06-14"),
"Italian",
"EUR")

## -----------------------------------------------------------------------------
proba_ctd( c(24.10, 23.10, 22.12, 21.12, 20.12, 19.14, 18.14, 17.16, 16.18, 15.20,
14.22, 13.24, 12.28, 11.32, 10.36, 9.44, 8.50, 7.60, 6.72, 5.86, 5.04, 4.28,
3.56, 2.88, 2.30, 1.78,  1.36, 1.02, 0.76, 0.56, 0.42, 0.30, 0.22, 0.18, 0.14,
0.10,  0.08, 0.06, 0.06, 0.04, 0.04, 0.02, 0.02, 0.02, 0.02, 0.02, 0.02),
seq(85, 131),
c(0.02,  0.02, 0.02, 0.02, 0.02, 0.04, 0.04, 0.06, 0.08, 0.10, 0.12, 0.14, 0.18, 0.22,
0.26, 0.34,  0.40, 0.50, 0.62, 0.76, 0.94, 1.18, 1.46, 1.78, 2.20, 2.68, 3.26, 3.92,
4.66,  5.46, 6.32, 7.20, 8.12, 9.08, 10.04, 11.00, 11.98, 12.96, 13.96, 14.94, 15.94,
16.92, 17.92, 18.92, 19.92, 20.92, 21.92),
seq(85, 131),
2,
0.0187,
1,
3,
as.Date("2054-08-15"),
109.1,
as.Date("2026-09-08"),
as.Date("2026-08-21"),
as.Date("2026-05-28"),
c("DE0001102572", "DE0001102614", "DE0001030757", "DE000BU2D004", "DE000BU2D012"),
c(0.000, 0.018, 0.018, 0.025, 0.029),
rep(1, 5),
as.Date(c("2052-08-15", "2053-08-15", "2053-08-15", "2054-08-15", "2056-08-15")),
100,
c(0.361698, 0.641260, 0.641260, 0.750372, 0.809987),
c(0.03500, 0.03507, 0.03492, 0.03510, 0.03514),
2)