| Title: | 'EIOPA' Risk-Free Interest Rate Term Structures for Solvency II |
|---|---|
| Description: | Downloads and parses the risk-free interest rate ('RFR') term structures published monthly by the European Insurance and Occupational Pensions Authority ('EIOPA') for Solvency II calculations. Provides a tidy data frame interface to the data, accessed via the official 'EIOPA' feed at <https://www.eiopa.europa.eu/feed/53/rss_en>. |
| Authors: | Jan-Hendrik Weinert [aut, cre] (ORCID: <https://orcid.org/0009-0005-2071-6502>) |
| Maintainer: | Jan-Hendrik Weinert <[email protected]> |
| License: | MIT + file LICENSE |
| Version: | 0.1.0 |
| Built: | 2026-05-14 12:33:05 UTC |
| Source: | https://github.com/cran/solvency2rfr |
Fetches the EIOPA RSS feed and returns a tibble of all available risk-free rate publications with their reference dates and download URLs.
rfr_index(feed_url = rfr_feed_url())rfr_index(feed_url = rfr_feed_url())
feed_url |
The URL of the EIOPA RSS feed. Defaults to the official feed URL. Override only for testing. |
The EIOPA RSS feed contains monthly RFR publications as well as
background documents (technical documentation, UFR reports, etc.).
rfr_index() filters the feed to return only the monthly ZIP
publications and excludes PDF, XLSX, and other document types.
An internet connection is required.
A tibble::tibble() with columns:
date (Date): The reference date of the publication (end of month).
title (character): The publication title (e.g. "April 2026").
url (character): Direct download URL for the ZIP file.
idx <- rfr_index() head(idx)idx <- rfr_index() head(idx)
Downloads the monthly ZIP file for a given reference date, extracts
the Term_Structures.xlsx file, and returns the selected interest
rate curve as a tidy tibble.
rfr_term_structures( date = NULL, curve = "spot_no_VA", feed_url = rfr_feed_url() )rfr_term_structures( date = NULL, curve = "spot_no_VA", feed_url = rfr_feed_url() )
date |
A |
curve |
One of |
feed_url |
The URL of the EIOPA RSS feed. Rarely needs to be changed. |
The EIOPA RFR term structures are published around the 5th of each month for the previous month-end. An internet connection is required.
Rates are returned as decimals, not percentages.
A tibble::tibble() with columns:
date (Date): The reference date.
country (character): Country or currency area name
(e.g. "Euro", "Germany", "Switzerland").
maturity (integer): Maturity in years (1 to 150).
rate (double): Annual spot rate as a decimal
(e.g. 0.0268 for 2.68 %).
rfr_index() to list all available publications.
# Get the most recent term structures rfr <- rfr_term_structures() head(rfr) # Get a specific month rfr <- rfr_term_structures("2026-04-30") # Get the curve including volatility adjustment rfr_va <- rfr_term_structures(curve = "spot_with_VA")# Get the most recent term structures rfr <- rfr_term_structures() head(rfr) # Get a specific month rfr <- rfr_term_structures("2026-04-30") # Get the curve including volatility adjustment rfr_va <- rfr_term_structures(curve = "spot_with_VA")