Download the BoE Anderson-Sleath fitted yield curves

Downloads the Bank of England's published fitted yield curves at all maturities (typically 0.5 to 25 or 40 years) using the Anderson and Sleath (2001) smoothing methodology. Returns the latest month's daily data covering the four published curves: nominal gilt, real (index-linked) gilt, implied inflation, and overnight index swap (OIS).

Usage

boe_curve(
  curve = c("nominal", "real", "inflation", "ois"),
  measure = c("spot", "forward"),
  cache = TRUE
)

Source

https://www.bankofengland.co.uk/statistics/yield-curves

Arguments

curve: Character. Which curve to fetch. One of "nominal", "real", "inflation", or "ois". Defaults to "nominal".
measure: Character. "spot" (default) or "forward".
cache: Logical. Use cached download if available and less than 24 hours old (default TRUE).

Value

A boe_tbl data frame with columns:

date: Date. Observation date.
maturity_years: Numeric. Maturity in years.
rate_pct: Numeric. Yield or implied rate (percent).

Details

Coverage is limited to the latest published month. Historical archive loading is planned for a subsequent release.

Requires the readxl package. The data is published as an Excel workbook inside a zip archive at https://www.bankofengland.co.uk/statistics/yield-curves.

References

Anderson, N. and Sleath, J. (2001). New estimates of the UK real and nominal yield curves. Bank of England Working Paper No. 126. https://www.bankofengland.co.uk/working-paper/2001/new-estimates-of-the-uk-real-and-nominal-yield-curves

Examples

# \donttest{
if (requireNamespace("readxl", quietly = TRUE)) {
  op <- options(boe.cache_dir = tempdir())
  # Latest nominal spot curve at all maturities
  curve <- boe_curve(curve = "nominal", measure = "spot")
  head(curve)
  options(op)
}
#> ℹ Downloading yield curve archive from Bank of England
#> ✔ Downloading yield curve archive from Bank of England [220ms]
#> 
# }