yields: Yield Curves Dataset

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

Description

This function downloads daily yield curves data of Brazil, China, and Russia. If necessary, it interpolates with spline function for unavailable maturities.

Usage

yields(init, fin, mty, ctry)

Arguments

init	Initial date in format "YYYY-MM-DD"
fin	Final date in format "YYYY-MM-DD"
mty	Maturities specified by months
ctry	Countries available: "BR", "CN" or "RU"

Value

A matrix that contains daily yield curves in percent in each row and maturities in months by columns.

Source

The dataset of Brazil, China, and Russia are obtained from <http://www.b3.com.br/>, <http://yield.chinabond.com.cn>, and <https://www.cbr.ru>, respectively.

Examples

init <- "2020-05-10"
fin <- "2020-05-17"
mty <- c(3,6,12,120,360)
ctry <- "BR"

## Not run: 
yields(init = init, fin = fin, mty = mty, ctry = ctry)

## End(Not run)

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