PerformanceAnalytics (version 0.9.7.1)

download.RiskFree: 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

See Also

CalculateReturns download.SP500PriceReturns get.hist.quote

Examples

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