A simple package to get the EIOPA rates directly in your script.
The data is accessed through an API which is regularly updated with the latest EIOPA rates.
Note:
You can install the released version of eiopaR from CRAN with:
install.packages("eiopaR")
You can install the development version from GitHub with:
# install.packages("devtools")
::install_github("MehdiChelh/eiopaR") devtools
Note: If you use Excel, you can also use the add-in
EIOPA_API.xlam
of this repository (in the Excel ribbon:
Developer > Add-ins > Browse > EIOPA_API.xlam
). It
imports a formula called EIOPA
that can be used in Excel as
follows: EIOPA("with_va", "FR", 2019, 12)
or also
EIOPA("no_va", "FR", 2019, 12)
.
The following script gives you the risk-free rates with volatility adjustment:
library(eiopaR)
<- get_rfr_with_va(region = "FR", year = 2017:2018, month = 12)
rfr
rfr#> <eiopa_rfr>
#> 20171231_rfr_spot_with_va_FR > -0.00318, -0.0021, -0.00048 ...
#> 20181231_rfr_spot_with_va_FR > -0.00093, -0.00035, 0.00063 ...
Note: It is recommended to limit the number
of calls to the functions get_rfr
,
get_rfr_with_va
, get_rfr_no_va
and to store
the results of your calls in the environment variables of your session
(like in the example above rfr <- get_...
). Your IP can
be temporary or permanently blocked if too many queries are
executed.
The rates are then accessible as a data.frame
:
head(rfr$data)
#> 20171231_rfr_spot_with_va_FR 20181231_rfr_spot_with_va_FR
#> 1 -0.00318 -0.00093
#> 2 -0.00210 -0.00035
#> 3 -0.00048 0.00063
#> 4 0.00109 0.00194
#> 5 0.00249 0.00339
#> 6 0.00387 0.00478
plot(
$data$`20171231_rfr_spot_with_va_FR`,
rfrylab = "2017-12",
type = 'l',
col = "purple"
)
Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.
Please make sure to update tests as appropriate.
See EIOPA | Risk-free interest rate term structures for more information.