interest_rates {qrmdata} | R Documentation |
Zero-coupon bond yield curves in CAD and USD.
data("ZCB_CAD") data("ZCB_USD")
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.
Marius Hofert
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).
data("ZCB_CAD") data("ZCB_USD")