Skip to contents

Daily treasury par yield curve rates

Source: R/interest-rate.R
tr_yield_curve.Rd

This par yield curve, which relates the par yield on a security to its time to maturity, is based on the closing market bid prices on the most recently auctioned Treasury securities in the over-the-counter market. The par 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.

Usage

tr_yield_curve(date = NULL)

Source

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

Arguments

date

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

Value

A data.table::data.table() containing the rates, or NULL when no entries were found. The updated_at column gives the feed's last update time as a POSIXct (UTC).

See also

Other interest rate: tr_bill_rate(), tr_long_term_rate(), tr_real_long_term(), tr_real_yield_curve()

Examples

# \donttest{
# get data for a single month
tr_yield_curve("202201")
#>            date maturity  rate          updated_at
#>          <Date>   <char> <num>              <POSc>
#>   1: 2022-01-03  1 month  0.05 2026-07-10 17:23:36
#>   2: 2022-01-03  2 month  0.06 2026-07-10 17:23:36
#>   3: 2022-01-03  3 month  0.08 2026-07-10 17:23:36
#>   4: 2022-01-03  6 month  0.22 2026-07-10 17:23:36
#>   5: 2022-01-03   1 year  0.40 2026-07-10 17:23:36
#>  ---                                              
#> 236: 2022-01-31   5 year  1.62 2026-07-10 17:23:36
#> 237: 2022-01-31   7 year  1.75 2026-07-10 17:23:36
#> 238: 2022-01-31  10 year  1.79 2026-07-10 17:23:36
#> 239: 2022-01-31  20 year  2.17 2026-07-10 17:23:36
#> 240: 2022-01-31  30 year  2.11 2026-07-10 17:23:36
# or for the entire year
tr_yield_curve(2022)
#>             date maturity  rate          updated_at
#>           <Date>   <char> <num>              <POSc>
#>    1: 2022-01-03  1 month  0.05 2026-07-10 15:44:50
#>    2: 2022-01-03  2 month  0.06 2026-07-10 15:44:50
#>    3: 2022-01-03  3 month  0.08 2026-07-10 15:44:50
#>    4: 2022-01-03  6 month  0.22 2026-07-10 15:44:50
#>    5: 2022-01-03   1 year  0.40 2026-07-10 15:44:50
#>   ---                                              
#> 3034: 2022-12-30   5 year  3.99 2026-07-10 15:44:50
#> 3035: 2022-12-30   7 year  3.96 2026-07-10 15:44:50
#> 3036: 2022-12-30  10 year  3.88 2026-07-10 15:44:50
#> 3037: 2022-12-30  20 year  4.14 2026-07-10 15:44:50
#> 3038: 2022-12-30  30 year  3.97 2026-07-10 15:44:50
# }