boe_curve: Download BoE Anderson-Sleath fitted yield curves

In boe: Download Data from the 'Bank of England' Statistical Database

Download BoE Anderson-Sleath fitted yield curves

Description

Downloads the Bank of England's published fitted yield curves at all maturities (typically 0.5 to 25 or 40 years) using the Anderson and Sleath (2001) smoothing methodology. Five curves are supported: nominal gilt, real (index-linked) gilt, implied inflation, overnight index swap (OIS), and the commercial bank liability curve (BLC).

Usage

boe_curve(
  curve = c("nominal", "real", "inflation", "ois", "blc"),
  measure = c("spot", "forward"),
  segment = c("standard", "short"),
  frequency = c("daily", "monthly"),
  from = NULL,
  to = NULL,
  cache = TRUE,
  cache_ttl_h = NULL
)

Arguments

curve	Character. Which curve to fetch. One of "nominal", "real", "inflation", "ois", or "blc". Defaults to "nominal". The commercial bank liability curve ("blc") is only published in the historical archive zip, so requests for it always route through the archive path regardless of from / to.
measure	Character. "spot" (default) or "forward".
segment	Character. "standard" (default) for the full maturity spectrum in half-year steps, or "short" for the separately fitted short end in monthly steps (one month to five years).
frequency	Character. "daily" (default) or "monthly". Monthly archives are end-of-month observations and are much smaller files.
from, to	Date or character ("YYYY-MM-DD"). Optional inclusive bounds. When either is set, the function uses the BoE archive zip (multi-decade history) and filters by date.
cache	Logical. Use cached download if available and within the TTL window (default TRUE).
cache_ttl_h	Numeric. Cache time-to-live in hours. When NULL (default) the TTL is 24 hours for the latest-month zip and 720 hours (30 days) for archive zips.

Details

Each curve is published in two segments. The default segment = "standard" returns the full maturity spectrum in half-year steps (0.5 years out to 25 or 40). segment = "short" returns the short end of the curve in monthly steps (one month out to five years), which the Bank fits separately and which is the segment most relevant to near-term policy-rate and money-market analysis. The short end is available for every curve in the latest month, and historically wherever the BoE published it (e.g. OIS short-end data begins later than the OIS standard curve); periods without a short-end sheet are skipped.

By default (from = NULL, to = NULL, frequency = "daily") returns the latest published month of daily data, matching the behaviour of earlier releases of this package. Setting from, to, or frequency switches to the BoE's full archive, which goes back to 1979 for nominal gilts, 1985 for real, 2000 for BLC, and 2009 for OIS.

Requires the readxl package. Data is published as Excel workbooks inside zip archives at https://www.bankofengland.co.uk/statistics/yield-curves. Each archive zip contains multiple per-period workbooks; this function concatenates them transparently.

Value

A boe_tbl data frame with columns:

date

Date. Observation date.

maturity_years

Numeric. Maturity in years.

rate_pct

Numeric. Yield or implied rate (percent).

Source

https://www.bankofengland.co.uk/statistics/yield-curves

References

Anderson, N. and Sleath, J. (2001). New estimates of the UK real and nominal yield curves. Bank of England Working Paper No. 126. https://www.bankofengland.co.uk/working-paper/2001/new-estimates-of-the-uk-real-and-nominal-yield-curves

See Also

Other interest rates: boe_bank_rate(), boe_curve_panel(), boe_sonia(), boe_yield_curve()

Examples

if (requireNamespace("readxl", quietly = TRUE)) {
  op <- options(boe.cache_dir = tempdir())
  # Latest nominal spot curve at all maturities (default behaviour)
  curve <- boe_curve(curve = "nominal", measure = "spot")
  head(curve)

  # Short end of the nominal forward curve (monthly steps to 5 years)
  se <- boe_curve(curve = "nominal", measure = "forward",
                  segment = "short")
  range(se$maturity_years)
  options(op)
}


## Not run: 
# Historical archive: multi-decade downloads, so not run automatically.
# 10-year nominal spot back to 2010:
long <- boe_curve(curve = "nominal", from = "2010-01-01")

# End-of-month real curve since 1990:
real_m <- boe_curve(curve = "real", frequency = "monthly",
                    from = "1990-01-01")

## End(Not run)

boe documentation built on May 30, 2026, 5:06 p.m.