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Retrieve Yield Curve Data

Source: R/scraper-yc.R
yc_xxx_get.Rd

These functions retrieve yield curve data, either for all available curves (yc_get) or specifically for:

  • the nominal rates curve (yc_brl_get).

  • the nominal rates curve for USD in Brazil - Cupom Cambial Limpo (yc_usd_get).

  • the real rates curve (yc_ipca_get).

Usage

yc_get()

yc_brl_get()

yc_ipca_get()

yc_usd_get()

Value

An arrow_dplyr_query or ArrowObject, representing a lazily evaluated query. The underlying data is not collected until explicitly requested, allowing efficient manipulation of large datasets without immediate memory usage. To trigger evaluation and return the results as an R tibble, use collect().

The returned data includes the following columns:

  • curve_name: Identifier of the yield curve (e.g., "PRE", "DOC", "DIC").

  • refdate: Reference date of the curve.

  • forward_date: Maturity date associated with the interest rate.

  • biz_days: Number of business days between refdate and forward_date.

  • cur_days: Number of calendar days between refdate and forward_date.

  • r_252: Annualized interest rate based on 252 business days.

  • r_360: Annualized interest rate based on 360 calendar days.

Details

The yield curve data is downloaded from the B3 website https://www2.bmf.com.br/pages/portal/bmfbovespa/lumis/lum-taxas-referenciais-bmf-ptBR.asp. See the Curve Manual in this link https://www.b3.com.br/data/files/8B/F5/11/68/5391F61043E561F6AC094EA8/Manual_de_Curvas.pdf for more details.

Examples

if (FALSE) { # \dontrun{
df <- yc_get() |>
  filter(curve_name == "PRE") |>
  collect()
} # }
if (FALSE) { # \dontrun{
df_yc <- yc_brl_get() |>
  filter(refdate == Sys.Date()) |>
  collect()
head(df_yc)
} # }
if (FALSE) { # \dontrun{
df_yc_ipca <- yc_ipca_get() |>
  filter(refdate == Sys.Date()) |>
  collect()
head(df_yc_ipca)
} # }
if (FALSE) { # \dontrun{
df_yc_usd <- yc_usd_get() |>
  filter(refdate == Sys.Date()) |>
  collect()
head(df_yc_usd)
} # }