Download 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. Five curves are supported: nominal gilt, real (index-linked) gilt, implied inflation, overnight index swap (OIS), and the commercial bank liability curve (BLC).

Usage

boe_curve(
  curve = c("nominal", "real", "inflation", "ois", "blc"),
  measure = c("spot", "forward"),
  frequency = c("daily", "monthly"),
  from = NULL,
  to = NULL,
  cache = TRUE,
  cache_ttl_h = NULL
)

Source

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

Arguments

curve: Character. Which curve to fetch. One of "nominal", "real", "inflation", "ois", or "blc". Defaults to "nominal". The commercial bank liability curve ("blc") is only published in the historical archive zip, so requests for it always route through the archive path regardless of from / to.
measure: Character. "spot" (default) or "forward".
frequency: Character. "daily" (default) or "monthly". Monthly archives are end-of-month observations and are much smaller files.
from, to: Date or character ("YYYY-MM-DD"). Optional inclusive bounds. When either is set, the function uses the BoE archive zip (multi-decade history) and filters by date.
cache: Logical. Use cached download if available and within the TTL window (default TRUE).
cache_ttl_h: Numeric. Cache time-to-live in hours. When NULL (default) the TTL is 24 hours for the latest-month zip and 720 hours (30 days) for archive zips.

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

By default (from = NULL, to = NULL, frequency = "daily") returns the latest published month of daily data, matching the behaviour of earlier releases of this package. Setting from, to, or frequency switches to the BoE's full archive, which goes back to 1979 for nominal gilts, 1985 for real, 2000 for BLC, and 2009 for OIS.

Requires the readxl package. Data is published as Excel workbooks inside zip archives at https://www.bankofengland.co.uk/statistics/yield-curves. Each archive zip contains multiple per-period workbooks; this function concatenates them transparently.

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 (default behaviour)
  curve <- boe_curve(curve = "nominal", measure = "spot")
  head(curve)

  # Historical: 10-year nominal spot back to 2010
  long <- boe_curve(curve = "nominal", from = "2010-01-01")
  range(long$date)

  # End-of-month real curve since 1990 (small download)
  real_m <- boe_curve(curve = "real", frequency = "monthly",
                      from = "1990-01-01")
  options(op)
}
#> ℹ Downloading yield curve archive from Bank of England
#> ✔ Downloading yield curve archive from Bank of England [229ms]
#> 
#> ℹ Downloading nominal daily yield-curve archive from Bank of England
#> ✔ Downloading nominal daily yield-curve archive from Bank of England [760ms]
#> 
#> ℹ Downloading real monthly yield-curve archive from Bank of England
#> ✔ Downloading real monthly yield-curve archive from Bank of England [52ms]
#> 
# }