In grfiv/ustreasuries: Treasury Data Download, Fixed-Income Models and Derivative Analyses

The FRB (http://www.federalreserve.gov/datadownload/Choose.aspx?rel=H15) provides Treasury-rate data back to 1962. I downloaded it, reformatted it to have the columns of the XML data, and spot checked that the rates were the same as the XML-downloaded data; they were.

Read the raw file

FRB_H15_1962_2015 = read.csv('FRB_H15_1962-2015.csv', 
                             as.is=TRUE, stringsAsFactors = FALSE, 
                             na.strings = "ND")
str(FRB_H15_1962_2015)

Remove rows that are all NA

(except the NEW_DATE field)

row.has.na <- apply(FRB_H15_1962_2015[,-2], 1, function(x){all(is.na(x))})

print(paste(sum(row.has.na), "all-NA rows out of", nrow(FRB_H15_1962_2015), 
            "total; resulting total:",nrow(FRB_H15_1962_2015)-sum(row.has.na)))

library(dplyr)
FRB_H15_1962_2015_mod <- FRB_H15_1962_2015[!row.has.na,]

Fix the Id and NEW_DATE fields

FRB_H15_1962_2015_mod <- mutate(FRB_H15_1962_2015_mod, 
                                NEW_DATE = as.Date(FRB_H15_1962_2015_mod$NEW_DATE))

# make the Id field numeric
class(FRB_H15_1962_2015_mod$Id) = "numeric" 

Look at the result

str(FRB_H15_1962_2015_mod)
head(FRB_H15_1962_2015_mod)
tail(FRB_H15_1962_2015_mod)

Save the FRB_H15_1962_2015_mod data.frame

save(FRB_H15_1962_2015_mod, file="FRB_H15_1962_2015_mod.Rdata")

grfiv/ustreasuries documentation built on May 17, 2019, 8:36 a.m.