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Last active December 22, 2018 22:23
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Yield Curve, 2006-2018. Dec 22
Raw
.block
license: mit
Raw
index.html
<!DOCTYPE html>
<meta charset="utf-8">
<style>
.axis {
font: 10px serif;
-webkit-user-select: none;
-moz-user-select: none;
user-select: none;
}
.axis .domain {
fill: none;
stroke: #000;
stroke-opacity: .3;
stroke-width: 5px;
stroke-linecap: round;
}
.plot.axis path {
stroke-width: 2px;
}
.axis .halo {
fill: none;
stroke: #ddd;
stroke-width: 8px;
stroke-linecap: round;
}
.slider .handle {
fill: #fff;
stroke: #000;
stroke-opacity: .5;
stroke-width: 1.25px;
cursor: crosshair;
}
.yieldcurve {
fill: none;
stroke: darkgreen;
stroke-width: 2.5px;
}
</style>
<body>
<script src="http://d3js.org/d3.v3.min.js"></script>
<script>
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,"R_10Y":2.87
},
{
"date":"2018-08-01"
,"R_3M":2.03
,"R_6M":2.22
,"R_1Y":2.45
,"R_2Y":2.67
,"R_3Y":2.78
,"R_5Y":2.87
,"R_7Y":2.96
,"R_10Y":3.00
},
{
"date":"2018-09-04"
,"R_3M":2.13
,"R_6M":2.29
,"R_1Y":2.49
,"R_2Y":2.66
,"R_3Y":2.73
,"R_5Y":2.78
,"R_7Y":2.85
,"R_10Y":2.90
},
{
"date":"2018-10-01"
,"R_3M":2.23
,"R_6M":2.40
,"R_1Y":2.60
,"R_2Y":2.82
,"R_3Y":2.90
,"R_5Y":2.96
,"R_7Y":3.04
,"R_10Y":3.09
},
{
"date":"2018-11-01"
,"R_3M":2.32
,"R_6M":2.49
,"R_1Y":2.67
,"R_2Y":2.84
,"R_3Y":2.91
,"R_5Y":2.96
,"R_7Y":3.06
,"R_10Y":3.14
}]
var margin = {top: 50, right: 50, bottom: 50, left: 50},
width = 960 - margin.left - margin.right,
height = 500 - margin.bottom - margin.top;
// set up our svg container
var svg = d3.select("body").append("svg")
.attr("width", width + margin.left + margin.right)
.attr("height", height + margin.top + margin.bottom)
.append("g")
.attr("transform", "translate(" + margin.left + "," + margin.top + ")")
.attr("width", width )
.attr("height", height)
//set up our plot area for the yield curve
// this will be separate from the time slider built above
var plot = svg.append("g")
.attr("width", width )
.attr("height", height - 20);
var yieldCurve = plot.append("path")
.attr("class", "yieldcurve");
var curveX = d3.scale.linear()
.domain([0,10])
.range([0,width]);
var curveY = d3.scale.linear()
.domain([0,20])
.range([height - 50 , 0])
var curveXaxis = plot.append("g")
.attr("class", "plot x axis")
.attr("transform", "translate(0," + (+height - 50) + ")")
.call(d3.svg.axis()
.scale(curveX)
.orient("bottom"))
var curveYaxis = plot.append("g")
.attr("class", "plot y axis")
//.attr("transform", "translate(0," + height + ")")
.call(d3.svg.axis()
.scale(curveY)
.orient("left"))
var line = d3.svg.line()
.x(function(d) { return curveX(d.maturity); })
.y(function(d) { return curveY(d.yield); });
// setup our brush as slider for date selection
var x = d3.time.scale()
.domain(d3.extent(data,function(d){return new Date(d.date)}))
.range([0, width])
.clamp(true);
var brush = d3.svg.brush()
.x(x)
.extent([x.domain()[0],x.domain()[0]])
.on("brush", brushed)
.on("brushend",brushended)
svg.append("g")
.attr("class", "x axis")
.attr("transform", "translate(0," + height + ")")
.call(d3.svg.axis()
.scale(x)
.orient("bottom")
.ticks(d3.time.years)
.tickFormat(d3.time.format("%Y")))
.select(".domain")
.select(function() { return this.parentNode.appendChild(this.cloneNode(true)); })
.attr("class", "halo")
var slider = svg.append("g")
.attr("class", "slider")
.call(brush)
slider.selectAll(".extent,.resize")
.remove();
slider.select(".background")
.attr("height", height);
var handle = slider.append("circle")
.attr("class", "handle")
.attr("transform", "translate(0," + height + ")")
.attr("r", 9);
//update graph when first open
slider
.call(brush.event)
.transition() // gratuitous intro!
.duration(10000)
.call(brush.extent([x.domain()[1],x.domain()[1]]))
.call(brush.event);
function brushed() {
var value;
if(typeof brush.extent() !== "undefined"){
value = brush.extent()[0];
if (d3.event.sourceEvent) { // not a programmatic event
value = d3.time.day.offset(d3.time.month.round(x.invert(d3.mouse(this)[0])),-1);
brush.extent([value, value]);
}
} else value = x.domain()[0];
updateGraph( value );
handle.attr("cx", x(value));
}
function brushended(){
console.log("ended")
}
function updateGraph( value ){
var curvedata = data.filter(function(d){return d3.time.format("%Y-%m")(new Date(d.date))== d3.time.format("%Y-%m")(value)})[0];
var curvearray = [];
Object.keys(curvedata).map(function(key){
if(key !== "date"){
curvearray.push({
maturity : +key.replace(/(R_)([0-9]*)([M,Y])/,"$2") / +{M:12,Y:1}[key.replace(/(R_)([0-9])*([M,Y])/,"$3")] ,
yield : curvedata[key]
})
}
})
yieldCurve.datum(curvearray)
.attr("d", line)
}
</script>
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