TreasuryYields: Treasury yields at different maturities

In arorar/FactorAnalytics: Factor Analytics

Description

The following is adapted from chapter 17 of Ruppert (2010).

The data object contains yields on Treasury bonds at 11 maturities, T = 1, 3, and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. Daily yields were taken from a U.S. Treasury website for the time period January 2, 1990, to October 31, 2008.

Daily yields were missing from some values of T because, for example to quote the website, "Treasury discontinued the 20-year constant maturity series at the end of calendar year 1986 and reinstated that series on October 1, 1993." Dif- ferencing may cause a few additional days to have missing values.

Usage

data(TreasuryYields)

Format

xts time series object

tr.yields

Jan-02-1990 through Oct-31-2008

Source

SDAFE author's website: http://people.orie.cornell.edu/davidr/SDAFE/index.html

References

Ruppert, D. (2010). Statistics and data analysis for financial engineering. Springer.

Examples

data(TreasuryYields)
# preview the data
head(tr.yields)

arorar/FactorAnalytics documentation built on May 10, 2019, 1:47 p.m.