interest_rates {qrmdata}R Documentation

Interest-Rate Data

Description

Zero-coupon bond yield curves in CAD and USD.

Usage

data("ZCB_CA")
data("ZCB_US")

Format

xts objects containing zero-coupon bond yield curves for times to maturity ranging from one to thirty years. Only trading days with available values for all maturities are included.

Author(s)

Marius Hofert

Source

ZCB_CA was obtained from http://www.bankofcanada.ca/rates/interest-rates/bond-yield-curves/ and ZCB_US was obtained from https://www.quandl.com/data/FED/SVENY-US-Treasury-Zero-Coupon-Yield-Curve via Quandl; both data sets were drawn on 2016-01-03 (ZCB_US via the function get_data() from qrmtools).

Examples

data("ZCB_CA")
data("ZCB_US")

[Package qrmdata version 2016-01-03-1 Index]