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ustyc US Treasury Yield CurveThe main function in this R package forms a query to submit for US
Treasury yield curve data, posting this query to the US Treasury web
site’s data feed service. By default the download includes data yield
data for 12 products from January 1, 1990, some of which are NA during
this span. The caller can pass parameters to limit the query to a
certain year or year and month, but the full download is not especially
large. The download data from the service is in XML format. This
function transforms that data into a numeric data frame with treasury
product items (constant maturity yields for 12 kinds of bills, notes,
and bonds) as columns and dates as row names. The function returns a
list which includes an item for this data frame as well as query-related
values for reference and the update date from the service. The data
frame can be used as-is or converted easily to a time series format such
as xts.
require(ustyc)
yc <- getYieldCurve()
summary(yc)
head(yc$df)The data frame might be converted to xts and plotted for
example with lattice:
require(xts)
require(lattice)
xt = xts(yc$df,order.by=as.Date(rownames(yc$df)))
xyplot.ts(xt,scales=list(y=list(relation="same")),ylab="Yield (%)")xyplot.ts(xt,superpose=TRUE,auto.key=list(columns=4),ylab="Yield (%)")
See the package vignette for examples of these plots.
References: * US Treasury Feed Service
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.