R: download 13-week US Treasury Bill Prices and calculate 13-week US Treasury Bill returns

download.RiskFree {PerformanceAnalytics}

R Documentation

download 13-week US Treasury Bill Prices and calculate 13-week US Treasury Bill returns

Description

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.

Usage

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

Arguments

`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`

Value

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

Author(s)

Peter Carl

Examples

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

[Package PerformanceAnalytics version 0.9.7 Index]