35163 - Government bond yield curve

Sample 35163: Government bond yield curve

This sample uses the SGPLOT procedure to create a needle plot with filled areas.

proc format;
  value matfmt
    1='1 mo'
    2='3 mo'
    3='6 mo'
    6='1 yr'
    7='2 yr'
    8='3 yr'
    9='5 yr'
    11='10 yr '
    14='30 yr';
  picture yldfmt
    low-high='9%';
run;

data yield;
  input matcur yldcur mat1mo yld1mo mat1yr yld1yr; label yldcur='January 2008' yld1mo = 'December 2007'
      yld1yr = 'January 2007';
  format mat1yr matfmt. mat1mo matfmt. matcur matfmt.
    yldcur yldfmt. yld1mo yldfmt. yld1yr yldfmt.; 
  datalines;
1    2.63    1    2.76    1    4.97
2    2.86    2    3.04    2    5.12
3    2.86    3    3.37    3    5.16
6    2.69    6    3.31    6    5.07
7    2.36    7    3.19    7    4.89
8    2.39    8    3.2     8    4.8
9    2.86    9    3.53    9    4.75
11   4.3     11   4.6     11   4.94
14   4.28    14   4.55    14   4.85
;
run;

title 'Government Bond Yield Curve';

ods html file='BondMaturity' path='.' style=curve;
ods graphics / reset width=600px height=400px imagename='BondMaturity' imagefmt=gif;

proc sgplot data=yield cycleattrs noautolegend;
  band  x=mat1yr upper=yld1yr  lower=0/  name='b1' legendlabel='January 2007';
  band  x=mat1mo upper=yld1mo lower=0 /  name='b2' legendlabel='December 2007';
  band  x=matcur upper=yldcur lower=0 / name='b3' legendlabel='January 2008';
  series  x=mat1yr y=yld1yr / markers markerattrs=(color=white symbol=circlefilled)lineattrs=(pattern=solid);
  series  x=mat1mo y=yld1mo / markers markerattrs=(color=white symbol=circlefilled)lineattrs=(pattern=solid);
  series  x=matcur y=yldcur / markers markerattrs=(color=white symbol=circlefilled)lineattrs=(pattern=solid);
  needle  x=matcur y=yld1yr / lineattrs=(color=white pattern=solid); 
  yaxis label='Bond Yield' offsetmin=0; 
  xaxis values=(1 2 3 6 7 8 9 11 14) label='Bond Maturity';
  keylegend 'b1' 'b2' 'b3'; 
run;

ods html close;
ods listing;

These sample files and code examples are provided by SAS Institute Inc. "as is" without warranty of any kind, either express or implied, including but not limited to the implied warranties of merchantability and fitness for a particular purpose. Recipients acknowledge and agree that SAS Institute shall not be liable for any damages whatsoever arising out of their use of this material. In addition, SAS Institute will provide no support for the materials contained herein.

Type:	Sample
Topic:	SAS Reference ==> Procedures ==> SGPLOT Query and Reporting ==> Creating Reports ==> Graphical ==> Financial Industry

Date Modified:	2009-03-20 14:37:05
Date Created:	2009-03-17 14:17:17

Product Family	Product	Host	SAS Release
Product Family	Product	Host	Starting	Ending
SAS System	SAS/GRAPH	z/OS	9.2 TS2M0
		Microsoft® Windows® for 64-Bit Itanium-based Systems	9.2 TS2M0
		Microsoft Windows Server 2003 Datacenter 64-bit Edition	9.2 TS2M0
		Microsoft Windows Server 2003 Enterprise 64-bit Edition	9.2 TS2M0
		Microsoft Windows XP 64-bit Edition	9.2 TS2M0
		Microsoft® Windows® for x64	9.2 TS2M0
		Microsoft Windows Server 2003 Datacenter Edition	9.2 TS2M0
		Microsoft Windows Server 2003 Enterprise Edition	9.2 TS2M0
		Microsoft Windows Server 2003 Standard Edition	9.2 TS2M0
		Microsoft Windows XP Professional	9.2 TS2M0
		Windows Vista	9.2 TS2M0
		64-bit Enabled AIX	9.2 TS2M0
		64-bit Enabled HP-UX	9.2 TS2M0
		64-bit Enabled Solaris	9.2 TS2M0
		HP-UX IPF	9.2 TS2M0
		Linux	9.2 TS2M0
		Linux for x64	9.2 TS2M0
		OpenVMS on HP Integrity	9.2 TS2M0
		Solaris for x64	9.2 TS2M0

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Sample 35163: Government bond yield curve

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