download.RiskFree    package:PerformanceAnalytics    R Documentation

_d_o_w_n_l_o_a_d _1_3-_w_e_e_k _U_S _T_r_e_a_s_u_r_y _B_i_l_l _P_r_i_c_e_s _a_n_d _c_a_l_c_u_l_a_t_e _1_3-_w_e_e_k _U_S _T_r_e_a_s_u_r_y _B_i_l_l _r_e_t_u_r_n_s

_D_e_s_c_r_i_p_t_i_o_n:

     This function downloads daily/monthly 13-week US Treasury Bill 
     _prices_ as the risk free asset using 'get.hist.quote' for
     "\^irx\^" and calculate _returns_ using 'CalculateReturns' as a
     good proxy for the Risk Free Rate.

_U_s_a_g_e:

     download.RiskFree(start = "1998-01-01", end = NULL, compression=c("m","d"))

_A_r_g_u_m_e_n_t_s:

   start: start date in YYYY-mm-dd format, default "1998-01-01"

     end: end date in YYYY-mm-dd format

compression: "m" for monthly returns and "d" for daily returns, default
          monthly, as passthru to 'get.hist.quote'

_V_a_l_u_e:

     matrix of simple or compound returns on the 13-week US Treasury
     Bill at the daily/monthly scale specified

_A_u_t_h_o_r(_s):

     Peter Carl

_S_e_e _A_l_s_o:

     'CalculateReturns' 
      'download.SP500PriceReturns' 
      'get.hist.quote'

_E_x_a_m_p_l_e_s:

     rf = download.RiskFree(start = "1997-12-01", end = "2007-01-01")
     class(rf)
     head(rf)