ANZ forward cash rate chart replication

anz_forward_rate.R

library(readrba)
library(tidyverse)

theme_anz <- function(...) {
  theme_minimal(...) +
  theme(panel.grid.major.x = element_blank(),
        panel.grid.minor = element_blank(),
        legend.position = "bottom",
        legend.direction = "horizontal",
        legend.title = element_blank(),
        axis.title.x = element_blank(),
        plot.title = element_text(face = "bold"),
        axis.ticks = element_line(),
        axis.line = element_line(),
        plot.title.position = "plot",
        axis.text = element_text(family = "Courier New",
                                 colour = "black",
                                 face = "bold")
        )
}

anz_grey <- "#C3C3C3"
anz_orange <- "#DAA76A"

f17_raw <- read_rba("F17")

forwards <- f17_raw |>
  filter(str_detect(series, "Zero-coupon forward rate")) |>
  separate(series, into = c("series", "horizon"), sep = " – ") |>
  mutate(horizon = parse_number(horizon)) |>
  mutate(horizon_date = date + (horizon * 365)) |> 
  select(series, date, horizon_date, value, horizon) |> 
  mutate(series = "Market pricing")

cash_rate_target <- read_rba_seriesid("FIRMMCRTD") |> 
  select(horizon_date = date, cash_rate_target = value) |> 
  filter(horizon_date >= min(forwards$horizon_date))


forwards <- cash_rate_target |> 
  rename(value = cash_rate_target) |> 
  mutate(series = "Actual") |> 
  bind_rows(forwards) 

forwards |> 
  filter(horizon <= 1 | is.na(horizon)) |> 
  ggplot(aes(x = horizon_date, 
             y = value, 
             col = series, 
             group = date,
             alpha = series)) +
  geom_line() +
  theme_anz(base_size = 8) +
  scale_colour_manual(values = c(`Actual` = anz_orange,
                                 `Market pricing` = anz_grey)) +
  scale_alpha_manual(values = c(`Actual` = 1,
                                `Market pricing` = 0.075)) +
  scale_size_manual(values = c(`Actual` = 2,
                               `Market pricing` = 0.5)) +
  scale_x_date(date_labels = "%y",
               date_breaks = "1 year") +
  scale_y_continuous(breaks = seq(0, 6, 0.5)) +
  guides(alpha = "none", size = "none") +
  labs(y = "Zero-coupon forward rate",
       title = "Market pricing for overnight cash rate")

ggsave("anz_cash_rate.png",
       device = ragg::agg_png(),
       scale = 0.33,
       width = 16.2,
       height = 10.37,
       bg = "white",
       dpi = "retina")