Example zero curve (from vilkovgr/qmoms) — qmoms

Zero rates by date and days used to value the surface. Rates are in decimal (e.g. 0.02 = 2% per annum). If the original CSV is in percent, the data-raw script converts it.

Usage

qmoms_zerocd

Format

A tibble with columns:

date: Date
days: integer — calendar days to maturity
rate: numeric — zero rate (decimal p.a.)

Source

https://github.com/vilkovgr/qmoms (data/zerocd.csv)