How to regress all rows with the same date on a value?

I'm new using R. I have the following sample dataset:

> head(abn)
       Dates  DTM   YTM
1 2010-09-28 1133 2.965
2 2010-09-28 1834 3.613
3 2010-09-29 1132 2.994
4 2010-09-29 1833 3.595
5 2010-09-30 1131 3.026
6 2010-09-30 1832 3.590

The observations are several bond values on an observation period from 2010-2016. My data set is composed of multiple bonds with maturities between 1-15 years (260-3900 business days as depicted in the dataset). DTM stands for days to maturity and YTM for yield to maturity.

My goal is to construct a synthetic bond with a maturity of 5 years for each day. Therefore I need to make a regression and find the YTM value for the DTM value of 1300, which is exactly 5 years.

I need to get the value of the y-axis at x=1300. However I need to have this information for every date separately.

I got help and the person got me this code:

library(dplyr) newval <- data.frame(DTM=1300) #predict.lm likes new values in a dataframe abn5y <- abn %>% group_by(Dates) %>% summarise(Y5=predict(lm(YTM ~ DTM), newval))

This worked. However I loaded the next data set.

head(bmp))
   Dates   DTM   YTM
  <dttm> <dbl> <dbl>

1 2007-11-02 1498 4.782 2 2007-11-02 1892 4.883 3 2007-11-02 1300 4.934 4 2007-11-05 1497 4.768 5 2007-11-05 1891 4.880 6 2007-11-05 1299 4.924'

And used the same code and got the following errors, with different attempts.

bmp5y <- bmp %>% group_by(Dates) %>% + + summarise(Y5=predict(lm(YTM ~ DTM), newval)) Error in eval(predvars, data, env) : object 'YTM' not found

bmp5y <- bmp %>% group_by(dates) %>% + summarise(Y5=predict(lm(ytm ~ dtm), newval)) Error in grouped_df_impl(data, unname(vars), drop) : Column dates is unknown

bmp5y <- bmp %>% group_by(Dates) %>% + summarise(Y5=predict(lm(ytm ~ dtm), newval)) Error in summarise_impl(.data, dots) : Column Y5 must be length 1 (a summary value), not 6563 In addition: Warning message: 'newdata' had 1 row but variables found have 6563 rows

What seems to be the problem?

Solution

It is not clear from the question precisely what code and data is being used but to reconstruct it in a reproducible and verifiable manner, copy and paste the code below to a fresh R session -- it runs without any error messages for me:

Lines <- "
      Dates   DTM   YTM
1 2007-11-02 1498 4.782 
2 2007-11-02 1892 4.883 
3 2007-11-02 1300 4.934 
4 2007-11-05 1497 4.768 
5 2007-11-05 1891 4.880 
6 2007-11-05 1299 4.924"  
bmp <- read.table(text = Lines)

library(dplyr)
newval <- data.frame(DTM=1300)
bmp %>% group_by(Dates) %>% summarise(Y5=predict(lm(YTM ~ DTM), newval))

giving:

# A tibble: 2 x 2
       Dates       Y5
      <fctr>    <dbl>
1 2007-11-02 4.876237
2 2007-11-05 4.863499