Daily treasury par real yield curve rates

The par real curve, which relates the par real yield on a Treasury Inflation Protected Security (TIPS) to its time to maturity, is based on the closing market bid prices on the most recently auctioned TIPS in the over-the-counter market. The par real yields are derived from input market prices, which are indicative quotations obtained by the Federal Reserve Bank of New York at approximately 3:30 PM each business day. Treasury began publishing this series on January 2, 2004. At that time Treasury released 1 year of historical data.

Usage

tr_real_yield_curve(date = NULL)

Source

https://home.treasury.gov/treasury-daily-interest-rate-xml-feed

Arguments

date

character(1) or numeric(1) date in format yyyy or yyyymm. If NULL, all data is returned. Default NULL.

Value

A data.frame() containing the rates or NULL when no entries were found.

See also

Other interest rate: tr_bill_rates(), tr_long_term_rate(), tr_real_long_term(), tr_yield_curve()

Examples

# \donttest{
# get data for a single month
tr_real_yield_curve("202201")
#> # A tibble: 100 × 3
#>    date       maturity  rate
#>    <date>     <chr>    <dbl>
#>  1 2022-01-03 5 year   -1.58
#>  2 2022-01-03 7 year   -1.25
#>  3 2022-01-03 10 year  -0.97
#>  4 2022-01-03 20 year  -0.55
#>  5 2022-01-03 30 year  -0.36
#>  6 2022-01-04 5 year   -1.56
#>  7 2022-01-04 7 year   -1.2 
#>  8 2022-01-04 10 year  -0.91
#>  9 2022-01-04 20 year  -0.47
#> 10 2022-01-04 30 year  -0.27
#> # ℹ 90 more rows
# or for the entire year
tr_real_yield_curve(2022)
#> # A tibble: 1,245 × 3
#>    date       maturity  rate
#>    <date>     <chr>    <dbl>
#>  1 2022-01-03 5 year   -1.58
#>  2 2022-01-03 7 year   -1.25
#>  3 2022-01-03 10 year  -0.97
#>  4 2022-01-03 20 year  -0.55
#>  5 2022-01-03 30 year  -0.36
#>  6 2022-01-04 5 year   -1.56
#>  7 2022-01-04 7 year   -1.2 
#>  8 2022-01-04 10 year  -0.91
#>  9 2022-01-04 20 year  -0.47
#> 10 2022-01-04 30 year  -0.27
#> # ℹ 1,235 more rows
# }