In GBcurves: Yield Curves of Brazil, China, and Russia

Quickstart

This is a short document on getting up to speed with GBcurves quickly.

Downloading dataset

Version 0.1.6 of GBcurves makes it possible to download yield curves of Brazil, China, and Russia. The data comprises daily observed yields per maturities. It interpolates with smooth.spline function for unavailable maturities for Brazil only.

Example

Here's an example of usage that will download yield curves of Brazil:

library(GBcurves)
init <- "2020-05-11" # YYYY-MM-DD
fin <- "2020-05-17" # YYYY-MM-DD
mty <- c(3,6,12,120,360) # must be in months
ctry <- "BR"
df.out <- yields(init = init,
                 fin = fin,
                 mty = mty,
                 ctry = ctry)

Brazil (BR)

The database consists of a panel of daily time series of zero yields from the closing prices of the future interbank deposit (future DI) from the B3 - Brazil Stock Exchange and Over-the-Counter Market.

The DI rate is the average daily rate of Brazilian interbank deposits (borrowing/lending), calculated by the Clearinghouse for Custody and Settlements (CETIP) for all business days. The DI rate is expressed in annually compounded terms, based on 252 business days.

In general, there are around 20 maturities with authorized contracts every day, but not all of them have liquidity. The ID futures curve is generated by interpolation of the ID futures settlement prices.

China (CN)

The database consists of a panel of daily time series of ChinaBond Government Bond Yield Curve (YTM), values (% per annum).

The available maturities (in months) are (0.96, 2.04, 3, 6, 9, 12, 24, 36, 60, 84, 120, 180, 240, 360, 480, 600).

Visit ChinaBond for more information on legislation and instructions.

Russia (RU)

The database consists of a panel of daily time series of Russian government bond zero-coupon yield curve, values (% per annum).

The available maturities (in months) are (3,6,9,12,24,36,60,84,120,180,240,360).

GBcurves documentation built on Jan. 4, 2022, 5:06 p.m.