Hello All,
I have a function which outputs graphically the results of a pass-through OAS
analysis. The viewport is 2x2. The idea is to leave a small margin at the top
and enter a title with something like the following.
Bond Lab Pass Through OAS
Bond Id: f...@bond.id
OAS : foo@OAS
I am a little lost on the viewport and can't quite get to the last step. The
function is below and the code I have question about is in red.
Glenn
The function is below - The code I have a question about is in red
#' OAS Analaysis of Pass Though MBS
#'
#' Function calls BondLab PassThroughOAS and plots the results
#' copyright Bond Lab Technologies, Inc 2015
#' @importFrom BondLab PassThroughOAS
#' @param bond.id a character string the bond id
#' @param trade.date a character string the trade date
#' @param settlement.date a character string the settlement date
#' @param original.balance a numeric value the original balance
#' @param price a numeric value the price
#' @param sigma a numeric the **annualized** volatility. The volatilty
assumption assumes
#' a trading year of 252 days
#' @export
PassThrough.OAS <- function(bond.id = character,
trade.date = character,
settlement.date = character,
original.balance = numeric(),
price = numeric(),
sigma = numeric(),
paths = numeric()){
set.seed = 100
sigma = sigma/sqrt(trading.days)
OAS.Analysis <- PassThroughOAS(bond.id = bond.id,
trade.date = trade.date,
settlement.date = settlement.date,
original.bal = original.balance,
price = price,
sigma = sigma,
paths = paths,
PrepaymentAssumption = "MODEL")
# price distribution
OAS.Price <- data.frame(OAS.Analysis@PriceDist)
OAS.Price <- data.frame(cbind(OAS.Price, seq(1: length(OAS.Price))))
colnames(OAS.Price) <- c("value", "count")
price.dist <- ggplot(OAS.Price, aes(x = value )) +
geom_density(fill = "#56B4E9", colour = "#56B4E9", alpha = .6) +
geom_histogram(aes(y =..density..), color = "lightgrey", fill = "#0072B2",
bindwidth = .01) +
theme_minimal() +
#scale_x_continuous(breaks = seq(80,120, 5)) +
labs(title = "Price Distribution") +
ylab("Density")+
xlab("Path Price") +
theme(panel.grid.major = element_line(size = .25, color = "grey")) +
theme(axis.text = element_text(size = 15)) +
theme(axis.title = element_text(size = 20)) +
theme(legend.position = "none")
# modified duration distribution
OAS.Mdur <- data.frame(OAS.Analysis@PathModDur)
OAS.Mdur <- data.frame(cbind(OAS.Mdur, seq(1:length(OAS.Mdur))))
colnames(OAS.Mdur) <- c("value", "count")
Mdur.dist <- ggplot(OAS.Mdur, aes(x = value )) +
geom_density(fill = "#56B4E9", colour = "#56B4E9", alpha = .6) +
geom_histogram(aes(y =..density..), color = "lightgrey", fill = "#0072B2",
bindwidth = .01) +
theme_minimal() +
#scale_x_continuous(breaks = seq(80,120, 5)) +
labs(title = "Mod. Duration Distribution") +
ylab("Density")+
xlab("Path Mod. Duration") +
theme(panel.grid.major = element_line(size = .25, color = "grey")) +
theme(axis.text = element_text(size = 15)) +
theme(axis.title = element_text(size = 20)) +
theme(legend.position = "none")
layout <- grid.layout(nrow = 2, ncol = 2,
widths = unit(c(2,2), c("null", "null")),
heights = unit(c(.3, 2), c("null", "null")))
vplayout <- function(...){
grid.newpage()
pushViewport(viewport(layout = layout))}
subplot <- function(x, y) {viewport(layout.pos.row = x,
layout.pos.col = y)}
mmplot <- function(a, b) {
vplayout()
print(a, vp = subplot(2, 1))
print(b, vp = subplot(2, 2))
}
OAS <- mmplot(price.dist, Mdur.dist)
plot(OAS)
}
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