Euro Area Yield Curve

Data is based on ECB estimates of the Euro Area Yield Curve based on the Svensson Model.

library(xts)

## Loading required package: zoo

## 
## Attaching package: 'zoo'

## The following objects are masked from 'package:base':
## 
##     as.Date, as.Date.numeric

library(tidyverse)

## Loading tidyverse: ggplot2
## Loading tidyverse: tibble
## Loading tidyverse: tidyr
## Loading tidyverse: readr
## Loading tidyverse: purrr
## Loading tidyverse: dplyr

## Conflicts with tidy packages ----------------------------------------------

## filter(): dplyr, stats
## first():  dplyr, xts
## lag():    dplyr, stats
## last():   dplyr, xts

library(YieldCurve)
library(plotly)

## 
## Attaching package: 'plotly'

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df <- readr::read_csv(
  "data.csv", skip = 5,
  col_names = c("date", "b0", "b1", "b2", "b3", "t1", "t2")
)

## Parsed with column specification:
## cols(
##   date = col_date(format = ""),
##   b0 = col_double(),
##   b1 = col_double(),
##   b2 = col_double(),
##   b3 = col_double(),
##   t1 = col_double(),
##   t2 = col_double()
## )

dxts <- xts(df[,2:7], order.by = df$date)

maturity = c(0.25,0.5,seq(1,30,by = 1))
rate <- Srates(dxts, maturity)

plot_ly(
  type = 'surface',
  colorscale = 'Virdis',
  z = rate,
  y = index(rate),
  x = colnames(rate)
) %>%
  layout(
    title = "Euro-Area Yield Curve",
    scene = list(
      aspectmode = 'manual',
      aspectratio = list(x = 0.5, y = 1, z = 0.5),
      camera = list(
        eye = list(x = -1, y = 1, z = 0.5)
      )
    )
  )