Downloading the Current Yield Curve

The latest version of GetTDData offers function get.yield.curve to download the current Brazilian yield curve directly from Anbima. The yield curve is a tool of financial analysts that show, based on current prices of fixed income instruments, how the market perceives the future real, nominal and inflation returns. You can find more details regarding the use and definition of a yield curve in [Investopedia][https://www.investopedia.com/terms/y/yieldcurve.asp].

Usage

library(GetTDData)

df.yield <- get.yield.curve()  
str(df.yield)

## 'data.frame':    112 obs. of  5 variables:
##  $ n.biz.days  : num  126 252 378 504 630 ...
##  $ type        : chr  "real_return" "real_return" "real_return" "real_return" ...
##  $ value       : num  6.09 6.32 6.28 6.19 6.11 ...
##  $ ref.date    : Date, format: "2023-07-31" "2024-01-31" ...
##  $ current.date: Date, format: "2023-01-26" "2023-01-26" ...

And we can plot it for the derised result:

library(ggplot2)

p <- ggplot(df.yield, aes(x=ref.date, y = value) ) +
  geom_line(size=1) + geom_point() + facet_grid(~type, scales = 'free') + 
  labs(title = paste0('The current Brazilian Yield Curve '),
       subtitle = paste0('Date: ', df.yield$current.date[1]))

## Warning: Using `size` aesthetic for lines was deprecated in ggplot2 3.4.0.
## ℹ Please use `linewidth` instead.

print(p)

Marcelo Perlin

2023-01-27

Usage