download.RiskFree {PerformanceAnalytics} | R Documentation

## download 13-week US Treasury Bill Prices and calculate 13-week US Treasury Bill returns

### Description

This function downloads daily/monthly 13-week US Treasury Bill prices as the risk free asset using `get.hist.quote` for "^irx^" and calculate returns using `CalculateReturns` as a good proxy for the Risk Free Rate.

### Usage

    download.RiskFree(start = "1998-01-01", end = NULL, compression=c("m","d"))

### Arguments

`start` | start date in YYYY-mm-dd format, default "1998-01-01"
`end` | end date in YYYY-mm-dd format
`compression` | "m" for monthly returns and "d" for daily returns, default monthly, as passthru to `get.hist.quote`

### Details

### Value

matrix of simple or compound returns on the 13-week US Treasury Bill at the daily/monthly scale specified

### Note

### Author(s)

Peter Carl

### References

### See Also

`CalculateReturns`
`download.SP500PriceReturns`
`get.hist.quote`

### Examples

    rf = download.RiskFree(start = "1997-12-01", end = "2007-01-01")
    class(rf)
    head(rf)

[Package PerformanceAnalytics version 0.9.5 Index]