Daily treasury par yield curve rates

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

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

Value

A data.table() 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_real_yield_curve()

Examples

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