get_yields

Generate Total Returns (TR) from bond yield data with fixed maturity, e.g.
reported treasury yields. The generated TR series are very close to alternative series
that can be purchased (e.g. CRSP, Bloomberg), suggesting they are a high-quality
alternative for those, see Swinkels (2019) <doi:10.3390/data4030091>.

Martin Geissmann

treasuryTR

Generate Treasury Total Returns from Yield Data

get_yields function

<dl><dt>series</dt>
<dd>The series code as found on https://fred.stlouisfed.org/, see details</dd>
<dt>na_locf</dt>
<dd>replace NA's with last observation</dd>
<dt>percent_adjust</dt>
<dd>divide raw data by 100</dd>
<dt>format_out</dt>
<dd>xts or tibble</dd>
<dt>...</dt>
<dd>Additional parameters handed to quantmod::getSymbols</dd></dl>

Arguments

Load data from FRED — get_yields

<dl>

<dt>series</dt>
<dd>The series code as found on https://fred.stlouisfed.org/, see details</dd>


<dt>na_locf</dt>
<dd>replace NA's with last observation</dd>


<dt>percent_adjust</dt>
<dd>divide raw data by 100</dd>


<dt>format_out</dt>
<dd>xts or tibble</dd>


<dt>...</dt>
<dd>Additional parameters handed to quantmod::getSymbols</dd>

</dl>

get_yields: Load data from FRED

Description

Usage

Value

Arguments

Details

Examples