Import Market Data from the Fred

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Description

Imports financial time series data from research.stlouisfed.org.

Usage

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fredSeries(symbols, from = NULL, to = Sys.timeDate(), 
    nDaysBack = 366, ...)
    
fredImport(query, file = "tempfile", source = NULL, frequency = "daily", 
    from = NULL, to = Sys.timeDate(), nDaysBack = NULL,
    save = FALSE, sep = ";", try = TRUE)    

Arguments

file

a character string with filename, usually having extension ".csv", where to save the downloaded data.

frequency

a character string, one of "auto", "quarterly", "monthly", or "daily", defining the frequency of the data records. Note, the import function tries autodetect the frequency of the time series to be dowwnloaded. This may fail, in such case specify the frequency explicitely.

from

the date from when to extract the time series.

nDaysBack

the number of days back.

query

a character string, denoting the location of the data at the web site.

save

a logical value, if set to TRUE the downloaded data file will be stored under the path and file name specified by the string file. By default FALSE.

sep

a charcter value specifying the column separator.

source

a character string setting the URL of the source. If NULL, then the URL will be set automatically to its default value.

symbols

a character string with the symbols to be downloaded.

to

the end date of the data download, by default the current date.

try

a logical value, if set to TRUE the Internet access will be checked.

...

optional arguments to be passed.

Value

The function fredImport returns an S4 object of class fWEBDATA with the following slots:

@call

the function call.

@data

the data as downloaded formatted as a data.frame.

@param

a character vector whose elements contain the values of selected parameters of the argument list.

@title

a character string with the name of the download. This can be overwritten specifying a user defined input argument.

@description

a character string with an optional user defined description. By default just the current date when the test was applied will be returned.

The function fredSeries returns an S4 object of class timeSeries or alternatively an object specified by the function argument returnClass.

Note

Internet Download Functions:

IMPORTANT NOTE: If the service provider changes the data file format it may become necessary to modify and update the functions.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

References

Diethelm Wuertz, Yohan Chalabi, and Andrew Ellis, (2010); Financial Market Data for R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zurich, www.rmetrics.org.