feat: support for average and end-of-month HQM

R/yield-curve.R

@@ -1,12 +1,16 @@
-tr_hqm <- function() {
-  url <- "https://home.treasury.gov/system/files/226/hqm_84_88.xls"
+tr_hqm <- function(x = c("average", "end-of-month")) {
+  x <- match.arg(x)
+  x <- if (x == "average") "hqm" else "hqmeom"
   start_year <- seq(1984L, 2028L, by = 5L)
   urls <- vapply(start_year, \(year) {
     sprintf(
-      "https://home.treasury.gov/system/files/226/hqm_%02d_%02d.xls",
-      year %% 100L, (year + 4L) %% 100L
+      "https://home.treasury.gov/system/files/226/%s_%02d_%02d.xls",
+      x, year %% 100L, (year + 4L) %% 100L
     )
   }, NA_character_)
+  if (x == "hqmeom") {
+    urls[[1L]] <- sub("88\\.xls$", "88_0.xls", urls[[1L]])
+  }
 
   months <- rep.int(month.name, 5L)
   res <- lapply(seq_along(urls), \(i) {
@@ -24,15 +28,16 @@ tr_hqm <- function() {
     res <- tidyr::pivot_longer(res, -maturity,
       names_to = "yearmonth", values_to = "yield", values_drop_na = TRUE
     )
-    res$yearmonth <- paste("01", res$yearmonth, sep = "-") |>
-      as.Date(format = "%d-%B-%Y")
+    res$yearmonth <- paste("01", res$yearmonth, sep = "-") |> as.Date("%d-%B-%Y")
     res[c("yearmonth", "maturity", "yield")]
   })
   do.call(rbind, res)
 }
 
-tr_hqm_pars <- function() {
-  url <- "https://home.treasury.gov/system/files/226/hqm_qh_pars.xls"
+tr_hqm_pars <- function(x = c("average", "end-of-month")) {
+  x <- match.arg(x)
+  x <- if (x == "average") "hqm" else "hqmeom"
+  url <- sprintf("https://home.treasury.gov/system/files/226/%s_qh_pars.xls", x)
   tf <- tempfile(fileext = ".xls")
   on.exit(unlink(tf), add = TRUE)
   utils::download.file(url, destfile = tf, quiet = TRUE, mode = "wb")
@@ -44,5 +49,38 @@ tr_hqm_pars <- function() {
   res <- tidyr::pivot_longer(res, -yearmonth,
     names_to = "maturity", values_to = "yield"
   )
+  res$yearmonth <- paste("01", res$yearmonth) |> as.Date("%d %B %Y")
   res
 }
+
+tr_tnc <- function() {
+  # TODO: there is an edge case for 1976-1977
+  start_year <- seq(1978L, 2027L, by = 5L)
+  urls <- vapply(start_year, \(year) {
+    sprintf(
+      "https://home.treasury.gov/system/files/226/tnc_%02d_%02d.xls",
+      year %% 100L, (year + 4L) %% 100L
+    )
+  }, NA_character_)
+
+  months <- rep.int(month.name, 5L)
+  res <- lapply(seq_along(urls), \(i) {
+    tf <- tempfile(fileext = ".xls")
+    on.exit(unlink(tf), add = TRUE)
+    utils::download.file(urls[[i]], destfile = tf, quiet = TRUE, mode = "wb")
+    res <- readxl::read_xls(tf, skip = 4L, .name_repair = \(nms) {
+      year <- start_year[[i]]
+      years <- rep(year:(year + 4L), each = 12L)
+      nms <- paste(months, years, sep = "-")
+      nms <- c("maturity", "tmp", nms)
+      nms
+    })
+    res <- res[, -2L]
+    res <- tidyr::pivot_longer(res, -maturity,
+      names_to = "yearmonth", values_to = "yield", values_drop_na = TRUE
+    )
+    res$yearmonth <- paste("01", res$yearmonth, sep = "-") |> as.Date("%d-%B-%Y")
+    res[c("yearmonth", "maturity", "yield")]
+  })
+  do.call(rbind, res)
+}