Yieldcurve {fds}

US: Treasury bond

Description

This data set contains monthly US Treasury bonds from January 1970 through December 2002. Based on the bid-ask midpoint average, the data consist of end of the month price quotes.

Usage

data(Yieldcurve)

Format

An object of class fts.

Details

This data set is filtered to eliminate bonds with special option futures, such as callable and flower bonds. Illiquid securities, such as treasury bills with less than one month on maturity and treasury notes and bonds with less than one year to maturity, are excluded from the samples.

Source

CRSP US Treasury Database (http://www.crsp.com/products/research-products/crsp-us-treasury-database).

Examples

plot(Yieldcurve)