interest_rates {qrmdata}R Documentation

Interest-Rate Data

Description

Zero-coupon bond yield curves in CAD and USD.

Usage

data("ZCB_CAD")
data("ZCB_USD")

Format

ZCB_CAD:

xts object containing, in each row, zero-coupon bond yield curves for 120 times to maturity (ranging from 0.25 to 30 years); only trading days with available values for all maturities are included. The 6088 trading days span 1991-01-02 to 2015-08-31.

ZCB_USD:

xts object containing, in each row, zero-coupon bond yield curves in percent for 30 times to maturity (ranging from 1 to 30 years); only trading days with available values for all maturities are included. The 7509 trading days span 1985-11-25 to 2015-12-29.

Author(s)

Marius Hofert

Source

ZCB_CAD was obtained from http://www.bankofcanada.ca/rates/interest-rates/bond-yield-curves/ and ZCB_USD 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_USD via the function get_data() from qrmtools).

Examples

data("ZCB_CAD")
data("ZCB_USD")

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