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]