Skip to contents

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"),
  frequency = c("daily", "monthly"),
  from = NULL,
  to = NULL,
  maturities = c(0.5, 1, 2, 5, 10, 20),
  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".

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. Defaults to c(0.5, 1, 2, 5, 10, 20).

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 published BoE grid steps in 0.5-year increments, so pillars at integer or half-integer years 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())
  panel <- boe_curve_panel(
    curve   = "nominal",
    measure = "spot",
    from    = "2020-01-01",
    maturities = c(2, 5, 10, 20)
  )
  head(panel)
  options(op)
}
#> ℹ Using cached nominal daily yield-curve archive
#> ✔ Using cached nominal daily yield-curve archive [6ms]
#> 
# }