How to plot impulse response on the yield curve using ggplot?

Question

I want to plot impulse responses on the yield curve for different periods, i.e. x axis is the maturity, y axis the yields and the colors and the legend showing the change of the curve.

Until now the best I got is this way, which does the job, but is probably not really fancy, since I have to write every curve in a separate line. I would also prefer different colors. I don’t have much experience with ggplot, does someone have a better idea how to do it?

Thank you very much!

library(ggplot2)
 yields <- matrix(c(0.00295373114921027 ,  -0.0459421137945784 ,  -0.0624168499151604 ,  -0.067980932937789 ,  
 -0.0694053937287238 ,  -0.0692517329677891 ,  -0.0685156201539083 ,  -0.067582403274368 ,  
 -0.0665988423594652 ,  -0.0656189053217228 ,  -0.0646608312532751 ,  -0.0637293717083627 , 
 -0.0628244027548776 ,  -0.0619442197044327 ,  -0.0610867666747859 ,  -0.0602500702135424 , 
 -0.0594323707193056 ,  -0.0586321427439522 ,  -0.0578480774357971 ,  -0.0570790546784645 , 
 -0.0563241148596215 ,  -0.00215459356668265 , -0.0503525358273081 ,  -0.0661569400587159 , 
 -0.0711300477300316 ,  -0.0720487787981406 ,  -0.071467793302907 ,   -0.0703726326391183 , 
 -0.0691384953588887 ,  -0.0679030277920252 ,  -0.0667123544990393 ,  -0.0655780848054318 , 
 -0.0644994089876531 ,  -0.0634715520359879 ,  -0.0624889225872946 ,  -0.061546216131371 ,  
 -0.0606387418827721 ,  -0.0597624650143631 ,  -0.0589139528071505 ,  -0.0580902955614903 , 
 -0.0572890277058378 ,  -0.0565080572408784 ,  -0.0114030149586297 ,  -0.0584364000177077 , 
 -0.0731467076374127 ,  -0.0771598014960408 ,  -0.0772563025592222 ,  -0.0759783133187364 , 
 -0.0742949756521288 ,  -0.0725654971972243 ,  -0.0709132758481899 ,  -0.0693721842312216 , 
 -0.0679434530580234 ,  -0.0666175347130694 ,  -0.0653823133748092 ,  -0.064226032252995 ,  
 -0.0631382053700173 ,  -0.0621097827523373 ,  -0.0611330574071095 ,  -0.0602014987728452 , 
 -0.0593095798617343 ,  -0.0584526203664026 ,  -0.0576266511922522 ,  -0.0259039550645722 , 
 -0.0713392729159159 ,  -0.0846135642132683 ,  -0.0873821445598901 ,  -0.0864145770618374 , 
-0.0842321656248465 ,  -0.0817822181406542 ,  -0.0794038971632835 ,  -0.0772030825995098 , 
 -0.0751986434845017 ,  -0.0733790654241345 ,  -0.0717240054930198 ,  -0.0702122082535117 , 
 -0.0688241737840042 ,  -0.0675428480624082 ,  -0.0663536015600818 ,  -0.0652439798164507 , 
 -0.0642034060524481 ,  -0.0632228988915533 ,  -0.062294823906057 ,   -0.0614126814607235 , 
 -0.0356906697272674 ,  -0.0802057443516945 ,  -0.0927109172869258 ,  -0.0948312709232168 , 
 -0.0933160359662884 ,  -0.0906707200984785 ,  -0.0878297826989717 ,  -0.0851217074473752 , 
 -0.0826433982580047 ,  -0.0804061321755991 ,  -0.078391948577664 ,   -0.0765750161787129 , 
 -0.074929396405741 ,   -0.0734315854801917 ,  -0.0720611000264056 ,  -0.070800368098286 ,  
 -0.06963440635221 ,    -0.0685504609981612 ,  -0.0675376736237955 ,  -0.0665867889862895 , 
 -0.0656899059030126 ,  -0.041924252769006 ,   -0.0859395512428242 ,  -0.0980690777105352 , 
 -0.0998902231864448 ,  -0.0981312532275844 ,  -0.0952858061030871 ,  -0.0922804943873589 , 
 -0.0894380032302587 ,  -0.0868506410877208 ,  -0.0845258989087087 ,  -0.082442633034258 ,  
 -0.0805723078349269 ,  -0.0788866738175846 ,  -0.0773602455734713 ,  -0.0759708363870938 , 
-0.0746994074652013 ,  -0.0735297103091648 ,  -0.0724478984462128 ,  -0.0714421685991245 , 
 -0.0705024476083904 ,  -0.069620125612793 ,   -0.0457061968841903 ,  -0.0894736342214357 , 
 -0.101451853061596 ,   -0.103170358605988 ,   -0.101338900579587 ,   -0.0984421938440188 , 
 -0.0954018462443128 ,  -0.0925373018091543 ,  -0.0899385132976934 ,  -0.087611126218473 ,  
 -0.0855324891063465 ,  -0.083672807180883 ,   -0.0820027677128787 ,  -0.0804959823040618 , 
 -0.0791294949139595 ,  -0.0778836100697815 ,  -0.076741518072849 ,   -0.0756888924723914 , 
 -0.0747135192873169 ,  -0.0738049738647384 ,  -0.0729543455560101 ,  -0.0478882405946669 , 
 -0.0915535484545184 ,  -0.103503081998629 ,   -0.105224282952248 ,   -0.103411538092442 ,  
 -0.100542800517279 ,   -0.0975363314039212 ,  -0.0947096872093228 ,  -0.0921516070869002 , 
-0.0898668712200736 ,  -0.0878321688856051 ,  -0.0860171844083944 ,  -0.0843921860976571 , 
 -0.0829304460555512 ,  -0.0816087326146583 ,  -0.0804071268247377 ,  -0.0793086384190329 , 
 -0.0782987958212864 ,  -0.077365269257024 ,   -0.0764975425795498 ,  -0.0756866337874161 , 
 -0.0490683388923625 ,  -0.0927124062973295 ,  -0.10469631413649 ,    -0.106472504910454 ,  
 -0.104722941505346 ,   -0.101920387653774 ,   -0.0989807569184307 ,  -0.0962204462432715 , 
-0.0937275623772329 ,  -0.0915065084458646 ,  -0.0895337354309203 ,  -0.0877787743354477 , 
 -0.0862117974893627 ,  -0.0848060222371294 ,  -0.0835381927940385 ,  -0.0823883891639117 , 
 -0.08133963740236 ,    -0.0803774952091776 ,  -0.0794896715815857 ,  -0.078665695922331 ,  
-0.0778966364240307 ,  -0.049642657409286 ,   -0.0933078697781386 ,  -0.105355312639458 ,  
 -0.107208920300852 ,   -0.105540680273448 ,   -0.102819310902584 ,   -0.0999590031086387 , 
 -0.0972753956836941 ,  -0.0948562585750573 ,  -0.0927058561126891 ,  -0.0908006027790577 , 
 -0.0891100514115876 ,  -0.0876044321695314 ,  -0.0862570434382154 ,  -0.0850447255214029 , 
 -0.0839476639119731 ,  -0.0829489954626629 ,  -0.0820343909499394 ,  -0.0811916724780447 , 
 -0.0804104809305694 ,  -0.0796819931570274 ,  -0.0498633299834566 ,  -0.093569851967338 ,  
-0.105691353089729 ,   -0.107628651790965 ,   -0.106045701039253 ,   -0.103408011373276 ,  
-0.10062845838066 ,    -0.0980221518341583 ,  -0.0956766755523155 ,  -0.0935962675088145 , 
 -0.0917573966091565 ,  -0.0901297142955671 ,  -0.0886835747676271 ,  -0.0873924151254988 , 
 -0.0862332222261255 ,  -0.0851863312935464 ,  -0.0842350287905035 ,  -0.0833651326198932 , 
 -0.0825646078512673 ,  -0.0818232330119734 ,  -0.0811323165090252 ,  -0.0498858643575532 , 
 -0.0936414542543238 ,  -0.105837769235224 ,   -0.107856796934385 ,   -0.106355961107537 ,  
 -0.103798184309161 ,   -0.101095303621711 ,   -0.0985620367564847 ,  -0.096285858744458 ,  
-0.0942710311953491 ,  -0.0924941133777877 ,  -0.0909248829730386 ,  -0.0895338402489474 , 
-0.0882945788753391 ,  -0.0871842468202314 ,  -0.0861833409066547 ,  -0.0852753068437304 , 
 -0.0844461174305103 ,  -0.0836838869032038 ,  -0.082978536313231 ,   -0.082321509391053), 21, 12)
 
 tau <- c(3, 6, 12, 24, 36, 48, 60, 72, 84, 96, 108, 120)
 
 # Plot
 data <- data.frame(tau  = tau, t(yields))
 p <- ggplot(data, aes(x = tau)) 
 p <- p + geom_line(aes(y = yields[1,], colour = 1))
 p <- p + geom_line(aes(y = yields[2,], colour = 2))
 p <- p + geom_line(aes(y = yields[3,], colour = 3))
 p <- p + geom_line(aes(y = yields[4,], colour = 4))
 p <- p + geom_line(aes(y = yields[5,], colour = 5))
 p <- p + geom_line(aes(y = yields[6,], colour = 6))
 p <- p + geom_line(aes(y = yields[7,], colour = 7))
 p <- p + geom_line(aes(y = yields[8,], colour = 8))
 p <- p + geom_line(aes(y = yields[9,], colour = 9))
 p <- p + geom_line(aes(y = yields[10,], colour = 10))
 p <- p + geom_line(aes(y = yields[11,], colour = 11))
 p <- p + geom_line(aes(y = yields[12,], colour = 12))
 p <- p + geom_line(aes(y = yields[13,], colour = 13))
 p <- p + geom_line(aes(y = yields[14,], colour = 14))
 p <- p + geom_line(aes(y = yields[15,], colour = 15))
 p <- p + geom_line(aes(y = yields[16,], colour = 16))
 p <- p + geom_line(aes(y = yields[17,], colour = 17))
 p <- p + geom_line(aes(y = yields[18,], colour = 18))
 p <- p + geom_line(aes(y = yields[19,], colour = 19))
 p <- p + geom_line(aes(y = yields[20,], colour = 20))
 p <- p + geom_line(aes(y = yields[21,], colour = 21))

 p

Answer 1

Try this:

# Plot
library(reshape2)
data <- data.frame(tau  = tau, t(yields))
data.m <- melt(data,id.vars = 'tau')
ggplot(data.m, aes(x = tau,y=value,color=variable))+geom_line()

Answer 2

ggplot likes long data a lot, while the yields matrix you posted is considered 'wide' data. Here is a way of converting it from a matrix:

df <- data.frame(
  x = as.vector(col(yields)),
  y = as.vector(yields),
  group = as.vector(row(yields))
)

Next you can match the column numbers to the tau variable as follows:

df$tau <- tau[df$x]

After which, plotting should be a lot easier:

ggplot(df, aes(tau, y, group = group)) +
  geom_line(aes(colour = as.factor(group)))

Answer 3

You can make your code a lot simpler by reshaping your matrix into long format by transposing it with t and using tidyr::pivot_longer.

library(tidyr)

df <- pivot_longer(cbind(tau, as.data.frame(t(yields))), -1, names_to = "yield")
df$yield <- factor(substr(df$yield, 2, 4), levels = 1:21)
ggplot(df, aes(tau, value, colour = yield)) + geom_line()