ECBYieldCurve {YieldCurve} | R Documentation |
Yield curve data spot rate, AAA-rated bonds, maturities from 3 months to 30 years
Description
Government bond, nominal, all triple A issuer companies. The maturity are 3 and 6 months and from 1 year to 30 years with frequency business day, provided by European Central Bank.
Usage
data(ECBYieldCurve)
Format
A data frame with 655 observations on the following 32 variables.
X3M
- interest rate with maturity 3 months
X6M
- interest rate with maturity 6 months
X1Y
- interest rate with maturity 1 year
X2Y
- interest rate with maturity 2 years
X3Y
- interest rate with maturity 3 years
X4Y
- interest rate with maturity 4 years
X5Y
- interest rate with maturity 5 years
X6Y
- interest rate with maturity 6 years
X7Y
- interest rate with maturity 7 years
X8Y
- interest rate with maturity 8 years
X9Y
- interest rate with maturity 9 years
X10Y
- interest rate with maturity 10 years
X11Y
- interest rate with maturity 11 years
X12Y
- interest rate with maturity 12 years
X13Y
- interest rate with maturity 13 years
X14Y
- interest rate with maturity 14 years
X15Y
- interest rate with maturity 15 years
X16Y
- interest rate with maturity 16 years
X17Y
- interest rate with maturity 17 years
X18Y
- interest rate with maturity 18 years
X19Y
- interest rate with maturity 19 years
X20Y
- interest rate with maturity 20 years
X21Y
- interest rate with maturity 21 years
X22Y
- interest rate with maturity 22 years
X23Y
- interest rate with maturity 23 years
X24Y
- interest rate with maturity 24 years
X25Y
- interest rate with maturity 25 years
X26Y
- interest rate with maturity 26 years
X27Y
- interest rate with maturity 27 years
X28Y
- interest rate with maturity 28 years
X29Y
- interest rate with maturity 29 years
X30Y
- interest rate with maturity 30 years
Source
ECB: http://www.ecb.europa.eu/stats/money/yc/html/index.en.html.
Data set is also available for download in Excel format at http://www.guirreri.host22.com/index.php?p=1_2_Documents.
Examples
data(ECBYieldCurve)
## maybe str(ECBYieldCurve) ; plot(ECBYieldCurve)
tau <- c(3/12,6/12,1:30)
par(mfrow=c(1,2))
plot(tau,ECBYieldCurve[1,],type="o", ylim=c(0,5),
main="European Union's yield curve",sub="29/12/2006")
grid()
plot(tau,ECBYieldCurve[655,],type="o", ylim=c(0,5),
main="European Union's yield curve",sub="24/07/2009")
grid()
[Package
YieldCurve version 2.0
Index]