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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 (NA in yc_brl_get(), the swap rates file publishes only the 252-based rate for PRE).

Details

The yield curve data comes from the file "Mercado de Derivativos - Taxas de Mercado para Swaps" (TS<yymmdd>.ex_) published daily on B3's "Pesquisa por pregão" page https://www.b3.com.br/pt_br/market-data-e-indices/servicos-de-dados/market-data/historico/boletins-diarios/pesquisa-por-pregao/pesquisa-por-pregao/. It replaced the former "Taxas Referenciais" page, discontinued by B3, and holds every curve (around 120) for the reference date, so fetch_marketdata("b3-reference-rates", refdate = ...) needs no curve_name argument. 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)
} # }