cmt_dataset: CMT rate date obtained from the US Treasury

In m-g-h/R.MFIV: Calculate Model Free Implied Volatility, i.e. the CBOE VIX from Option Quotes

CMT rate date obtained from the US Treasury

Description

CMT rate date obtained from the US Treasury

Usage

cmt_dataset

Format

A data.table with the following columns:

• Date (date) - the day of the quoted CMT rates

• X1.mo (numeric) - decimal one month CMT rate

• X2.mo (numeric) - decimal two month CMT rate

• X3.mo (numeric) - decimal three month CMT rate

• X6.mo (numeric) - decimal six month CMT rate

• X1.yr (numeric) - decimal one year CMT rate

• X2.yr (numeric) - decimal two year CMT rate

• X3.yr (numeric) - decimal three year CMT rate

• X5.yr (numeric) - decimal five year CMT rate

• X7.yr (numeric) - decimal seven year CMT rate

• X10.yr (numeric) - decimal ten year CMT rate

• X20.yr (numeric) - decimal twenty year CMT rate

• X30.yr (numeric) - decimal thirty year CMT rate

Source

US Treasury website

m-g-h/R.MFIV documentation built on July 4, 2022, 3:35 a.m.