Treasury Bond Yield Curves in R

Question

Does anyone know if I can access interest rates series from the treasury using R? I tried yahoo! Finance and it doesn't seem to have this kind of information.

Answer 1

Quantmod package claims to support downloading data from Federal Reserve Bank of St. Louis Economic database, which contains plenty of rates time series. It should be pretty simple to get them into R using function getSymbols, in the same manner as

getSymbols("DEXJPUS",src="FRED") # FX rates from FRED

Answer 2

Try the Fed's H15 series. Daily data is here, with links to historical: http://www.federalreserve.gov/releases/h15/update/

Answer 3

There are some interest rates accessible through the R package YieldCurve. I don't think they contain the latest available interest rates.

Another alternative is the package FRBData. Using the function GetInterestRates you can download various of the latest interest rates published by the FRB.