[R-SIG-Finance] where to obtain T-bill 3 month rate?

[Thomas Steiner]

Michael,

> Is there a program in R that can automatically/streamingly pull stock and
> T-bill rate data from popular website?

I use the US-fed site to get US-data from there:

library(zoo)

usfedyields<-function(mat) {
  ##from: http://www.federalreserve.gov/releases/h15/data.htm
  url<-paste("http://www.federalreserve.gov/releases/h15/data/Business_day/H15_TCMNOM_",mat,".txt",sep="")
  raw<-read.csv(file=url,skip=7,colClasses=c("character","character"))
  date<-as.Date(raw[,1],format="%m/%d/%Y")
  yield<-as.numeric(raw[,2])
  return(zoo(yield,date))
}

y3 <-usfedyields("M3")

A more theoretical question:
Do you use the 3-month rate as the short rate? I don't know what model
you use, but if you use vasicek, CIR, some parametric model (Svensson,
...) the 3 month rate will differ from the short rate by a well
defined quantity. How do you deal with this? What do others use as
short rate?
Just tell me more! I am curious on literature as well; I just now
http://ideas.repec.org/p/wpa/wuwpfi/9808004.html

Best,
Thomas