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Wide panel of BoE yield curve at chosen pillar maturities

Source: R/boe_curve_panel.R
boe_curve_panel.Rd

Convenience wrapper around boe_curve() that returns a wide-format panel: one row per date, one column per requested pillar maturity. This is the form most users want for time-series modelling and quick plotting.

Usage

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

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".

segment

Character. "standard" (default) for the full maturity spectrum in half-year steps, or "short" for the separately fitted short end in monthly steps (one month to five years).

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.

maturities

Numeric vector of pillar maturities in years. When NULL (default) a sensible set is chosen for the segment: c(0.5, 1, 2, 5, 10, 20) for "standard" and c(0.5, 1, 2, 3, 5) for "short". Pillars not on the published grid for the chosen curve and segment are dropped with a warning.

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 and one numeric column per pillar named like m0.5, m1, m2, m5, m10, m20.

Details

For each requested pillar, the function picks the published maturity closest to the request (within a 0.05-year tolerance) and uses that. The standard grid steps in 0.5-year increments and the short-end grid (segment = "short") in monthly increments, so pillars at integer, half-integer, or whole-month maturities align exactly.

See also

Other interest rates: boe_bank_rate(), boe_curve(), boe_sonia(), boe_yield_curve()

Examples

# \donttest{
if (requireNamespace("readxl", quietly = TRUE)) {
  op <- options(boe.cache_dir = tempdir())
  # Latest month: wide panel at chosen pillar maturities
  panel <- boe_curve_panel(curve = "nominal", measure = "spot",
                           maturities = c(2, 5, 10, 20))
  head(panel)
  options(op)
}
#> ℹ Using cached yield curve archive
#> ✔ Using cached yield curve archive [6ms]
#> 
# }

if (FALSE) { # \dontrun{
# Historical panel (multi-decade archive download; not run automatically)
hist <- boe_curve_panel(curve = "nominal", measure = "spot",
                        from = "2020-01-01", maturities = c(2, 5, 10, 20))
} # }