Download Risk-Free Rate Data

Downloads pre-processed risk-free rate data from the tidy-finance/risk-free dataset on HuggingFace. The dataset is updated monthly via a scheduled GitHub Actions workflow that splices the 3-Month Treasury Bill Secondary Market Rate (pre-2001) with the 4-Week Treasury Bill Secondary Market Rate (from 2001 onwards) sourced from FRED. For monthly data, the monthly TB3MS series is spliced with the daily DTB4WK series aggregated to month-end. For daily data, the daily DTB3 series is spliced with the daily DTB4WK series, both at the business-day frequency provided by FRED.

Usage

download_data_risk_free(
  start_date = NULL,
  end_date = NULL,
  frequency = "monthly"
)

Arguments

start_date

Optional. A character string or Date object in "YYYY-MM-DD" format specifying the start date for the data. If not provided, the full dataset is returned.

end_date

Optional. A character string or Date object in "YYYY-MM-DD" format specifying the end date for the data. If not provided, the full dataset is returned.

frequency

A character string, either "monthly" (default) or "daily", specifying the frequency of the returned data. Daily data starts in 1954-01-04 because of availability of DTB3, while monthly data starts in 1934-01-01.

Value

A tibble with two columns:

date

The date of the observation.

risk_free

The risk-free rate for the period.

Details

Both series are quoted as annualised bank discount rates on a 360-day basis. Given an annualised discount rate d and a T-bill with n days to maturity, the holding-period return is HPR = d * n/360 / (1 - d * n/360), which is then converted to the target period length via (1 + HPR)^(target/source) - 1.

The series are spliced at 2001-07-01:

• Pre-2001: TB3MS (monthly) or DTB3 (daily), 3-month T-bill with n = 90. Monthly conversion uses exponent 1/3; daily conversion uses exponent 1/63 (approx. trading days per quarter).

• From 2001: DTB4WK, 4-week T-bill with n = 28. For monthly data, the last non-NA observation per calendar month is taken and the exponent is 365/(28*12). For daily data, observations are used as-is and the exponent is 1/20 (approx. trading days per 4-week period).

Business-day gaps in the daily series (e.g. holidays) are handled by forward-filling the most recent available rate.

Monthly data starts in 1934-01-01 (TB3MS). Daily data starts in 1954-01-04 due to the availability of DTB3.

See also

Other download functions: download_data(), download_data_constituents(), download_data_factors_ff(), download_data_factors_q(), download_data_fred(), download_data_fred_md(), download_data_huggingface(), download_data_jkp(), download_data_macro_predictors(), download_data_osap(), download_data_pastor_stambaugh(), download_data_stambaugh_yuan(), download_data_stock_prices(), download_factor_library_grid(), download_factor_library_ids()

Examples

# \donttest{
  download_data_risk_free("2020-01-01", "2020-12-31")
#> # A data frame: 12 × 2
#>    date       risk_free
#>    <date>         <dbl>
#>  1 2020-01-01 0.00129  
#>  2 2020-02-01 0.00121  
#>  3 2020-03-01 0.0000338
#>  4 2020-04-01 0.0000845
#>  5 2020-05-01 0.000110 
#>  6 2020-06-01 0.000110 
#>  7 2020-07-01 0.0000760
#>  8 2020-08-01 0.0000676
#>  9 2020-09-01 0.0000676
#> 10 2020-10-01 0.0000676
#> 11 2020-11-01 0.0000676
#> 12 2020-12-01 0.0000676
  download_data_risk_free(
    "2020-01-01", "2020-12-31", frequency = "daily"
  )
#> # A data frame: 262 × 2
#>    date       risk_free
#>    <date>         <dbl>
#>  1 2020-01-01 0.0000564
#>  2 2020-01-02 0.0000584
#>  3 2020-01-03 0.0000580
#>  4 2020-01-06 0.0000588
#>  5 2020-01-07 0.0000580
#>  6 2020-01-08 0.0000572
#>  7 2020-01-09 0.0000584
#>  8 2020-01-10 0.0000580
#>  9 2020-01-13 0.0000588
#> 10 2020-01-14 0.0000584
#> # ℹ 252 more rows
# }