Data for the yield curve is available in B3’s website. The data is built using interest rate futures. See this pdf for more details about the source of the yield curves.
p <- ggplot(
df_yc,
aes(
x = forward_date,
y = r_252,
group = refdate,
color = factor(refdate)
)
) +
geom_line(linewidth = 1) +
labs(
title = "Yield Curves for Brazil",
subtitle = "Built using interest rates future contracts",
caption = str_glue("Data imported using rb3 at {Sys.Date()}"),
x = "Forward Date",
y = "Annual Interest Rate",
color = "Reference Date"
) +
theme_light() +
scale_y_continuous(labels = scales::percent)
print(p)
p <- ggplot(
df_yc |> filter(biz_days > 21, biz_days < 1008),
aes(
x = forward_date,
y = r_252,
group = refdate,
color = factor(refdate)
)
) +
geom_line(linewidth = 1) +
labs(
title = "DIxIPCA Yield Curves for Brazil",
subtitle = "Built using interest rates future contracts",
caption = str_glue("Data imported using rb3 at {Sys.Date()}"),
x = "Forward Date",
y = "Annual Interest Rate",
color = "Reference Date"
) +
theme_light() +
scale_y_continuous(labels = scales::percent)
print(p)
p <- ggplot(
df_yc |> filter(biz_days > 21, biz_days < 2520),
aes(
x = forward_date,
y = r_360,
group = refdate,
color = factor(refdate)
)
) +
geom_line(linewidth = 1) +
labs(
title = "Cupom Limpo (USD) Yield Curves for Brazil",
subtitle = "Built using interest rates future contracts",
caption = str_glue("Data imported using rb3 at {Sys.Date()}"),
x = "Forward Date",
y = "Annual Interest Rate",
color = "Reference Date"
) +
theme_light() +
scale_y_continuous(labels = scales::percent)
print(p)