Fetching Historical Yield Curves from B3"

In rb3: Download and Parse Public Data Released by B3 Exchange

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>",
  out.width = "100%"
)

Data for the yield curve is available in B3's website. The data is built using interest rate futures. See this pdf for more details about the source of the yield curves.

library(rb3)
library(ggplot2)
library(stringr)
library(dplyr)

DI X Pre Curve

df_yc <- try(yc_mget(
  first_date = Sys.Date() - 255 * 5,
  last_date = Sys.Date(),
  by = 255
), silent = TRUE)

if (is(df_yc, "try-error")) {
  load("yc_mget.rda")
}

df_yc <- yc_mget(
  first_date = Sys.Date() - 255 * 5,
  last_date = Sys.Date(),
  by = 255
)

p <- ggplot(
  df_yc,
  aes(
    x = forward_date,
    y = r_252,
    group = refdate,
    color = factor(refdate)
  )
) +
  geom_line(linewidth = 1) +
  labs(
    title = "Yield Curves for Brazil",
    subtitle = "Built using interest rates future contracts",
    caption = str_glue("Data imported using rb3 at {Sys.Date()}"),
    x = "Forward Date",
    y = "Annual Interest Rate",
    color = "Reference Date"
  ) +
  theme_light() +
  scale_y_continuous(labels = scales::percent)

print(p)

DI x IPCA Curve

df_yc <- try(yc_ipca_mget(
  first_date = Sys.Date() - 255 * 5,
  last_date = Sys.Date(),
  by = 255
), silent = TRUE)

if (is(df_yc, "try-error")) {
  load("yc_ipca_mget.rda")
}

df_yc <- yc_ipca_mget(
  first_date = Sys.Date() - 255 * 5,
  last_date = Sys.Date(),
  by = 255
)

p <- ggplot(
  df_yc |> filter(biz_days > 21, biz_days < 1008),
  aes(
    x = forward_date,
    y = r_252,
    group = refdate,
    color = factor(refdate)
  )
) +
  geom_line(linewidth = 1) +
  labs(
    title = "DIxIPCA Yield Curves for Brazil",
    subtitle = "Built using interest rates future contracts",
    caption = str_glue("Data imported using rb3 at {Sys.Date()}"),
    x = "Forward Date",
    y = "Annual Interest Rate",
    color = "Reference Date"
  ) +
  theme_light() +
  scale_y_continuous(labels = scales::percent)

print(p)

Cupom Limpo (USD)

df_yc <- try(yc_usd_mget(
  first_date = Sys.Date() - 255 * 5,
  last_date = Sys.Date(),
  by = 255
), silent = TRUE)

if (is(df_yc, "try-error")) {
  load("yc_usd_mget.rda")
}

df_yc <- yc_usd_mget(
  first_date = Sys.Date() - 255 * 5,
  last_date = Sys.Date(),
  by = 255
)

p <- ggplot(
  df_yc |> filter(biz_days > 21, biz_days < 2520),
  aes(
    x = forward_date,
    y = r_360,
    group = refdate,
    color = factor(refdate)
  )
) +
  geom_line(linewidth = 1) +
  labs(
    title = "Cupom Limpo (USD) Yield Curves for Brazil",
    subtitle = "Built using interest rates future contracts",
    caption = str_glue("Data imported using rb3 at {Sys.Date()}"),
    x = "Forward Date",
    y = "Annual Interest Rate",
    color = "Reference Date"
  ) +
  theme_light() +
  scale_y_continuous(labels = scales::percent)

print(p)

rb3 documentation built on April 14, 2023, 5:10 p.m.