[R-SIG-Finance] where to obtain T-bill 3 month rate?
finbref.2006 at gmail.com
Wed Nov 15 11:11:48 CET 2006
> 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:
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
Just tell me more! I am curious on literature as well; I just now
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