A simple package to get the EIOPA rates directly in your script.
The data is accessed through an API which is regularly updated with the latest EIOPA rates.
You can install the released version of eiopaR from CRAN with:
You can install the development version from GitHub with:
# install.packages("devtools") devtools::install_github("MehdiChelh/eiopaR")
Note: If you use Excel, you can also use the add-in
of this repository (in the Excel ribbon:
Developer > Add-ins > Browse > EIOPA_API.xlam). It imports a formula
EIOPA that can be used in Excel as follows:
EIOPA("with_va", "FR", 2019, 12) or also
EIOPA("no_va", "FR", 2019, 12).
The following script gives you the risk-free rates with volatility adjustment:
library(eiopaR) rfr <- get_rfr_with_va(region = "FR", year = 2017:2018, month = 12) rfr #> <eiopa_rfr> #> 20171231_rfr_spot_with_va_FR > -0.00318, -0.0021, -0.00048 ... #> 20181231_rfr_spot_with_va_FR > -0.00093, -0.00035, 0.00063 ...
Note: It is recommended to limit the number of calls to the
get_rfr_no_va and to store the
results of your calls in the environment variables of your session (like
in the example above
rfr <- get_...). Your IP can be temporary or
permanently blocked if too many queries are executed.
The rates are then accessible as a
head(rfr$data) #> 20171231_rfr_spot_with_va_FR 20181231_rfr_spot_with_va_FR #> 1 -0.00318 -0.00093 #> 2 -0.00210 -0.00035 #> 3 -0.00048 0.00063 #> 4 0.00109 0.00194 #> 5 0.00249 0.00339 #> 6 0.00387 0.00478
plot( rfr$data$`20171231_rfr_spot_with_va_FR`, ylab = "2017-12", type = 'l', col = "purple" )
Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.
Please make sure to update tests as appropriate.
See EIOPA \| Risk-free interest rate term structures for more information.
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.