interest_rates | R Documentation |
Zero-coupon bond yield curves in CAD and USD.
data("ZCB_CAD") data("ZCB_USD")
ZCB_CAD
:xts
object containing, in each row, zero-coupon bond yield curves
in percent for 120 times to maturity (ranging from 0.25 to 30 years); only
trading days from 1991-01-02 to 2015-08-31 with available values
for all maturities are included.
ZCB_USD
:xts
object containing, in each row, zero-coupon bond yield curves
in percent for 30 times to maturity (ranging from 1 to 30 years); only
trading days from 1985-11-25 to 2015-12-29 with available values
for all maturities are included.
Marius Hofert
ZCB_CAD
was created from data obtained from
https://www.bankofcanada.ca/rates/interest-rates/bond-yield-curves/
multiplied by 100. ZCB_USD
was obtained from
https://data.nasdaq.com/data/FED/SVENY-us-treasury-zerocoupon-yield-curve/
via Quandl. Both data sets were drawn on 2016-01-03 (ZCB_USD
via the
function get_data()
from qrmtools).
data("ZCB_CAD") data("ZCB_USD") mat <- as.matrix(ZCB_USD['2015-01-01/2015-12-31',]) df <- data.frame(Day = rep(1:nrow(mat), each = ncol(mat)), Maturity = rep(1:ncol(mat), nrow(mat)), Value = as.vector(t(mat))) lattice::wireframe(Value ~ Day * Maturity, data = df, alpha.regions = 0.5, scales = list(arrows = FALSE, col = "black"), par.settings = list(axis.line = list(col = "transparent")))
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