Bonds

Data - Investing

Author

François Geerolf

Info

LAST_DOWNLOAD

Code 
tibble(LAST_DOWNLOAD = as.Date(file.info("~/iCloud/website/data/investing/bonds.RData")$mtime)) |>
  print_table_conditional()
LAST_DOWNLOAD
2022-07-04

LAST_COMPILE

LAST_COMPILE
2026-08-02

Last

Date Nobs
2022-07-04 7

Basic

Nobs

Code 
bonds |>
  group_by(symbol) |>
  summarise(Nobs = n()) |>
  arrange(-Nobs) %>%
  {if (is_html_output()) datatable(., filter = 'top', rownames = F) else .}

Last

Code 
bonds |>
  group_by(symbol) |>
  arrange(Date) |>
  summarise(Date = last(Date),
            Close = last(Close)) |>
  arrange(desc(Date)) %>%
  {if (is_html_output()) datatable(., filter = 'top', rownames = F) else .}

Negative Interest Rate

Javascript

Code 
bonds |>
  filter(Date == as.Date("2020-09-01"),
         Close < 0) |>
  select(bond = symbol, Close) |>
  arrange(Close) %>%
  {if (is_html_output()) datatable(., filter = 'top', rownames = F) else .}

png

Code 
i_g("bib/investing/bonds_ex1-bind.png")

Greece

Javascript

Code 
bonds |>
  filter(Date == as.Date("2020-12-15"),
         grepl("Greece", symbol)) |>
  select(Bond = symbol, `Dec 15, 2020` = Close) |>
  arrange(`Dec 15, 2020`) |>
  mutate(`Dec 15, 2020` = paste0(round(`Dec 15, 2020`, 3), "%")) %>%
  {if (is_html_output()) datatable(., filter = 'top', rownames = F) else .}

png

Code 
i_g("bib/investing/bonds_ex2.png")

Examples

France, Germany and Italy 30-year yield

Code 
bonds |>
  filter(symbol %in% c("Germany 30Y", "Italy 30Y", "France 30Y", "U.S. 30Y"),
         Date >= as.Date("2020-04-01")) |>
  ggplot() + geom_line(aes(x = Date, y = Close/100, color = symbol, linetype = symbol)) +
  theme_minimal() + xlab("") + ylab("30-Year Yield (%)") +
  scale_x_date(breaks ="1 week",
               labels = date_format("%b-%d")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 0.2),
                     labels = percent_format(accuracy = 0.1),
                     limits = c(-0.002, 0.035)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.6, 0.9),
        legend.title = element_blank(),
        legend.direction = "horizontal")

10-, 20-, 30- Year Bonds

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Germany 20Y", "Germany 30Y"),
         Date >= as.Date("2019-10-01")) |>
  ggplot() + geom_line(aes(x = Date, y = Close/100, color = symbol, linetype = symbol)) +
  theme_minimal() + xlab("") + ylab("Germany Government Bonds (%)") +
  scale_x_date(breaks ="3 months",
               labels = date_format("%b-%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 0.2),
                     labels = percent_format(accuracy = 0.1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.3, 0.1),
        legend.title = element_blank(),
        legend.direction = "horizontal")

Germany and Italy 10-year yield

1978-2020

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Netherlands 10Y", "France 10Y")) |>
  select(symbol, Date, Close) |>
  ggplot() + geom_line(aes(x = Date, y = Close/100, color = symbol)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = seq(1960, 2100, 5) |> paste0("-01-01") |> as.Date(),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.8, 0.9),
        legend.title = element_blank())

Germany and Italy 10-year yield

1978-2020

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `Italy 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = seq(1960, 2100, 2) |> paste0("-01-01") |> as.Date(),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.8, 0.9),
        legend.title = element_blank())

2014-2020

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y"),
         Date >= as.Date("2014-01-01")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `Italy 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) + 
  theme_minimal() + xlab("") + ylab("10-Year (%)") +
  scale_x_date(breaks = seq(1960, 2100, 1) |> paste0("-01-01") |> as.Date(),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.5, 0.9),
        legend.title = element_blank())

2010-2020

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y"),
         Date >= as.Date("2010-09-01")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `Italy 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) + 
  theme_minimal() + xlab("") + ylab("10-Year (%)") +
  scale_x_date(breaks = seq(1960, 2100, 1) |> paste0("-01-01") |> as.Date(),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.5, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "black")

2005-2020

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y"),
         Date >= as.Date("2005-01-01")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `Italy 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = seq(1960, 2100, 1) |> paste0("-01-01") |> as.Date(),
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.8, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

2020-2022

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y"),
         Date >= as.Date("2021-01-01")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `Italy 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "2 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

Germany, Italy, France, U.S.

2020-2022

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "U.S. 10Y"),
         Date >= as.Date("2021-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "2 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_4flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

2022-2022

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "U.S. 10Y", "Spain 10Y"),
         Date >= as.Date("2022-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "1 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_5flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

Europe Spreads vs Germany: France, Italy, Spain, Greece

Rates

2010-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "Greece 10Y"),
         Date >= as.Date("2007-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "1 year",
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 70, 2),
                     labels = percent_format(accuracy = 1)) +
  scale_color_identity() + add_5flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "black")

Juillet 2019-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "Greece 10Y", "U.S. 10Y"),
         Date >= as.Date("2019-07-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "6 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_6flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

2020-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "Greece 10Y", "U.S. 10Y"),
         Date >= as.Date("2020-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "6 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_6flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

2021-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "U.S. 10Y"),
         Date >= as.Date("2021-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "3 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_5flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

2020-2021

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "Greece 10Y", "U.S. 10Y"),
         Date >= as.Date("2020-01-01"),
         Date <= as.Date("2021-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield, 2020 (%)") +
  scale_x_date(breaks = "1 month",
               labels = date_format("%b")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_6flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

Spreads

2012-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "Greece 10Y"),
         Date >= as.Date("2012-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  select(-symbol) |>
  spread(Location, obsValue) |>
  transmute(date,
            France = France - Germany,
            Greece = Greece - Germany,
            Italy = Italy - Germany,
            Spain = Spain - Germany) |>
  gather(Location, obsValue, -date) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("Spreads (%)") +
  scale_x_date(breaks = "1 year",
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 60, 2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_4flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

2021-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "Greece 10Y"),
         Date >= as.Date("2021-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  select(-symbol) |>
  spread(Location, obsValue) |>
  transmute(date,
            France = France - Germany,
            Greece = Greece - Germany,
            Italy = Italy - Germany,
            Spain = Spain - Germany) |>
  gather(Location, obsValue, -date) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("Spreads (%)") +
  scale_x_date(breaks = "2 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_4flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

Europe Spreads vs Germany: France, Italy, Spain

Rates

1995-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y"),
         Date >= as.Date("1995-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "2 years",
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 70, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_identity() + add_4flags +
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "black")

2005-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y"),
         Date >= as.Date("2005-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol)) |>
  left_join(colors, by = c("Location" = "country")) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "2 years",
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 70, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_identity() + add_4flags +
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "black")

2010-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y"),
         Date >= as.Date("2010-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "1 year",
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 70, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_identity() + add_4flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "black")

Juillet 2019-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "U.S. 10Y"),
         Date >= as.Date("2019-07-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "6 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .5),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_5flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

2022-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "U.S. 10Y"),
         Date >= as.Date("2021-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks = "2 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_5flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

Spreads

2019-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y"),
         Date >= as.Date("2019-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  select(-symbol) |>
  spread(Location, obsValue) |>
  transmute(date,
            France = France - Germany,
            Italy = Italy - Germany,
            Spain = Spain - Germany) |>
  gather(Location, obsValue, -date) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("Spreads (%)") +
  scale_x_date(breaks = "1 year",
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 60, .5),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_3flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

2012-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y"),
         Date >= as.Date("2010-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  select(-symbol) |>
  spread(Location, obsValue) |>
  transmute(date,
            France = France - Germany,
            Italy = Italy - Germany,
            Spain = Spain - Germany) |>
  gather(Location, obsValue, -date) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("Spreads (%)") +
  scale_x_date(breaks = "1 year",
               labels = date_format("%Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 60, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_identity() + add_3flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

2021-

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y", "France 10Y", "Spain 10Y", "Greece 10Y"),
         Date >= as.Date("2021-01-01")) |>
  select(symbol, date = Date, obsValue = Close) |>
  mutate(obsValue = obsValue/100) |>
  mutate(Location = gsub(" 10Y", "", symbol),
         Location = ifelse(Location == "U.S.", "United States", Location)) |>
  select(-symbol) |>
  spread(Location, obsValue) |>
  transmute(date,
            France = France - Germany,
            Greece = Greece - Germany,
            Italy = Italy - Germany,
            Spain = Spain - Germany) |>
  gather(Location, obsValue, -date) |>
  left_join(colors, by = c("Location" = "country")) |>
  mutate(color = ifelse(Location == "United States", color2, color)) |>
  ggplot() + geom_line(aes(x = date, y = obsValue, color = color)) +
  theme_minimal() + xlab("") + ylab("Spreads (%)") +
  scale_x_date(breaks = "2 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, .2),
                     labels = percent_format(accuracy = .1)) +
  scale_color_identity() + add_4flags +
  theme(legend.position = c(0.2, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

Whatever it takes

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y"),
         Date >= as.Date("2012-01-01"),
         Date <= as.Date("2014-01-01")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `Italy 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks ="3 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.8, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

Lagarde’s mistake

March 12, 2020: the ECB is not here to close spreads

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y"),
         Date >= as.Date("2020-02-26"),
         Date <= as.Date("2020-03-30")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `Italy 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks ="6 days",
               labels = date_format("%b %d")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.15, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2020-03-12"), linetype = "dashed", color = "black")

Rise

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "Italy 10Y"),
         Date >= as.Date("2020-02-24")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `Italy 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks ="3 months",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 1),
                     labels = percent_format(accuracy = 1)) +
  scale_color_manual(values = viridis(5)[1:4]) +
  theme(legend.position = c(0.8, 0.9),
        legend.title = element_blank()) + 
  geom_vline(xintercept = as.Date("2012-07-26"), linetype = "dashed", color = "grey")

Risque Mélenchon

March 1 2017, May 15 2017

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "France 10Y"),
         Date >= as.Date("2017-03-01"),
         Date <= as.Date("2017-05-15")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `France 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks ="10 days",
               labels = date_format("%b %d")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 0.1),
                     labels = percent_format(accuracy = .1)) +
  scale_color_manual(values = viridis(4)[1:3]) +
  theme(legend.position = c(0.85, 0.9),
        legend.title = element_blank())

July 15 2016, May 15 2017

Code 
bonds |>
  filter(symbol %in% c("Germany 10Y", "France 10Y"),
         Date >= as.Date("2016-09-15"),
         Date <= as.Date("2017-05-15")) |>
  select(symbol, Date, Close) |>
  spread(symbol, Close) |>
  mutate(`Spread` = `France 10Y` - `Germany 10Y`) |>
  gather(variable, value, -Date) |>
  ggplot() + geom_line(aes(x = Date, y = value/100, color = variable)) +
  theme_minimal() + xlab("") + ylab("10-Year Yield (%)") +
  scale_x_date(breaks ="1 month",
               labels = date_format("%b %Y")) +
  scale_y_continuous(breaks = 0.01*seq(-10, 30, 0.1),
                     labels = percent_format(accuracy = .1)) +
  scale_color_manual(values = viridis(4)[1:3]) +
  theme(legend.position = c(0.15, 0.9),
        legend.title = element_blank())