Downloading the Current Yield Curve

Marcelo Perlin

2022-05-11

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].

library(GetTDData)

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

## 'data.frame':    117 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  5.12 5.47 5.55 5.57 5.58 ...
##  $ ref.date    : Date, format: "2022-11-08" "2023-05-11" ...
##  $ current.date: Date, format: "2022-05-10" "2022-05-10" ...

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]))     

print(p)