plotly_yield_curve.R

# plotly interactive yield curve
# from: https://gist.github.com/timelyportfolio/4da9d6b6c89cce26effabccca30124dd

library(plotly)
library(dplyr)
library(tidyr)
library(purrr)
library(quantmod)
library(magrittr)


# get yields from St. Louis Fed FRED
yield_curve <- list("DTB3", "DGS2", "DGS5", "DGS10", "DGS30") %>%
  map(
    ~getSymbols(.x, auto.assign=FALSE, src="FRED")
  ) %>%
  do.call(merge,.)

# create our 3d surface yield curve
yield_curve["1980::"] %>%
  # convert to numeric matrix
  data.matrix() %>% 
  # transpose
  t() %>%
  # draw our Plotly 3d surface
  plot_ly(
    x=as.Date(index(yield_curve["1980::"])),
    y=c(0.25,2,5,10,30),
    z=.,
    type="surface"
  ) %>%
  plotly::layout(
    scene=list(
      xaxis=list(title="date"),
      yaxis=list(title="term"),
      zaxis=list(title="yield")
    )
  )

  
# 3d scatter chart
yield_curve_tidy <- yield_curve %>%
  data.frame() %>%
  add_rownames(var="date") %>%
  gather(symbol,yield,-date) %>%
  mutate(term=c(0.25,5,10,30)[match(symbol,paste0(c("IRX","FVX","TNX","TYX"),".Close"))])

yield_curve_tidy %>%
  plot_ly(
    x=date, y=yield, z=term,
    group=symbol, type="scatter3d"
  )