ECBYieldCurve: Yield curve data spot rate, AAA-rated bonds, maturities from...

In YieldCurve: Modelling and estimation of the yield curve

Description

Government bond, nominal, all triple A issuer companies. The maturities are 3 and 6 months and from 1 year to 30 years with frequency business day, provided by European Central Bank. The range date is from 2006-12-29 to 2009-07-24.

Usage

data(ECBYieldCurve)

Format

It is an xts object with 32 interest rate at different matuirties and 655 obeservations.

Source

ECB: http://www.ecb.europa.eu/stats/money/yc/html/index.en.html.

Examples

### plot ECB Yield Curve ###
data(ECBYieldCurve)

first(ECBYieldCurve,'3 day')
last(ECBYieldCurve,'3 day')

mat.ECB <- tau <- c(3/12,6/12,1:30)

par(mfrow=c(2,3))
for( i in c(1,2,3,653,654,655) ){
plot(mat.ECB, ECBYieldCurve[i,], type="o", xlab="Maturities structure in years", ylab="Interest rates values")
title(main=paste("European Central Bank yield curve obeserved at",time(ECBYieldCurve[i], sep=" ") ))
grid()
}

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

              X3M    X6M    X1Y    X2Y    X3Y    X4Y    X5Y    X6Y    X7Y
2006-12-28 3.4435 3.6073 3.7581 3.8223 3.8250 3.8263 3.8333 3.8452 3.8604
2007-01-01 3.4513 3.6110 3.7497 3.8006 3.8001 3.8014 3.8096 3.8230 3.8397
2007-01-02 3.4483 3.6117 3.7458 3.7912 3.7913 3.7945 3.8045 3.8193 3.8368
              X8Y    X9Y   X10Y   X11Y   X12Y   X13Y   X14Y   X15Y   X16Y
2006-12-28 3.8772 3.8946 3.9118 3.9284 3.9440 3.9586 3.9721 3.9844 3.9958
2007-01-01 3.8578 3.8762 3.8942 3.9114 3.9274 3.9422 3.9558 3.9683 3.9797
2007-01-02 3.8553 3.8736 3.8913 3.9079 3.9232 3.9373 3.9501 3.9618 3.9723
             X17Y   X18Y   X19Y   X20Y   X21Y   X22Y   X23Y   X24Y   X25Y
2006-12-28 4.0062 4.0157 4.0244 4.0324 4.0397 4.0465 4.0527 4.0584 4.0637
2007-01-01 3.9900 3.9995 4.0081 4.0160 4.0232 4.0298 4.0358 4.0414 4.0466
2007-01-02 3.9819 3.9906 3.9985 4.0057 4.0123 4.0183 4.0238 4.0289 4.0336
             X26Y   X27Y   X28Y   X29Y   X30Y
2006-12-28 4.0685 4.0731 4.0773 4.0813 4.0850
2007-01-01 4.0514 4.0558 4.0600 4.0638 4.0674
2007-01-02 4.0379 4.0420 4.0457 4.0492 4.0524
              X3M    X6M    X1Y    X2Y    X3Y    X4Y    X5Y    X6Y    X7Y
2009-07-21 0.4440 0.4463 0.7419 1.4232 1.9602 2.3940 2.7578 3.0678 3.3334
2009-07-22 0.4433 0.4479 0.7430 1.4202 1.9548 2.3873 2.7504 3.0602 3.3259
2009-07-23 0.4621 0.4576 0.7667 1.4619 1.9983 2.4286 2.7884 3.0945 3.3564
              X8Y    X9Y   X10Y   X11Y   X12Y   X13Y   X14Y   X15Y   X16Y
2009-07-21 3.5612 3.7561 3.9222 4.0628 4.1809 4.2791 4.3598 4.4249 4.4762
2009-07-22 3.5540 3.7493 3.9159 4.0572 4.1760 4.2750 4.3564 4.4222 4.4743
2009-07-23 3.5808 3.7725 3.9356 4.0736 4.1894 4.2855 4.3643 4.4278 4.4776
             X17Y   X18Y   X19Y   X20Y   X21Y   X22Y   X23Y   X24Y   X25Y
2009-07-21 4.5153 4.5437 4.5627 4.5733 4.5767 4.5737 4.5651 4.5518 4.5342
2009-07-22 4.5142 4.5434 4.5631 4.5745 4.5785 4.5762 4.5683 4.5556 4.5387
2009-07-23 4.5155 4.5428 4.5608 4.5707 4.5734 4.5699 4.5609 4.5472 4.5294
             X26Y   X27Y   X28Y   X29Y   X30Y
2009-07-21 4.5131 4.4889 4.4621 4.4331 4.4023
2009-07-22 4.5181 4.4945 4.4682 4.4397 4.4093
2009-07-23 4.5081 4.4838 4.4570 4.4280 4.3973

YieldCurve documentation built on May 2, 2019, 5:56 p.m.