vis_kernel {ycevo}

Visualise kernel weights

Description

vis_kernel() visualises kernel weights assigned to the intervals surrounding specific grid points using the Epanechnikov kernel function and given bandwidths.

Usage

vis_kernel(data, x = NULL, hx = NULL, tau = NULL, ht = NULL, ...)

Arguments

data

Bond data. If x and hx are not NULL, data needs to include one time index column qdate. If tau and ht are not NULL, data needs to include one column of time to maturity in days tupq.

x

Time grids at which the discount curve is evaluated. Should be specified using the same class of object as the quotation date (qdate) column in data.

hx

Numeric vector. Bandwidth parameters corresponding to each time point x.

tau

Numeric vector. Time-to-maturities in years where discount function and yield curve will be estimated for each of time points x. See Details.

ht

Numeric vector. Bandwidth parameters corresponding to each value of time-to-maturities tau. See Details.

...

Specification of an additional covariate, taking the form of var = list(grid, bandwidth), where var is the name of the covariate in data, grid is the values at which the yield curve is estimated, similar to x, and bandwidth is the bandwidth parameter corresponding to each of the grid values, similar to hx.

Details

If x and hx are provided, the kernel weights assigned to the intervals surrounding each of time points x will be plotted.

If tau and ht are provided, the kernel weights assigned to the intervals surrounding each of time-to-maturities tau will be plotted.

If the grid and bandwidth of a covariate are provided in ..., the kernel weights of that covariate will be plotted.

The kernel weights can only be plotted in one dimension (time, time-to-maturity, or covariate) at a time.

Value

A ggplot2::ggplot() object.

See Also

ycevo_data(), ycevo()

Examples

bonds <- ycevo_data()
vis_kernel(bonds, x = lubridate::ymd("2023-06-01"), hx = 0.2)