retrieving us treasury rates

us.treasury.rates.R

library('XML')
library('RCurl')

# Save the URL of the xml file in a variable
fileUrl="http://data.treasury.gov/feed.svc/DailyTreasuryYieldCurveRateData?$filter=year(NEW_DATE)%20eq%202010"

###Using the rcurl package, first download, then parse
#Get the content
fileContent = getURL(fileUrl)

#parse xml from text string
xmlfile.fromstring = xmlParse(fileContent,asText=TRUE)

###Using the XML package, download and parse all-in-one
#parse xml from url
xmlfile.fromUrl = xmlParse(fileUrl)

# the xml file is now saved as an object you can easily work with in R:
class(xmlfile.fromUrl)
class(xmlfile.fromstring)

# RCurl offer more control on the download,
# but apart from that parsing should produce the same data structure
# Here below we proceed with xmlfile.fromUrl

# Use the xmlRoot-function to access the top node
xmltop = xmlRoot(xmlfile.fromUrl)

# have a look at the XML-code of the first subnodes:
xmlChildren(xmltop)[1:6]

#extract the subpaths (don't forget to pass the default namespace, or you will not find anything!)
bonds_dates  = xpathSApply(xmltop, "//ns:entry/ns:content//d:NEW_DATE", function(x){xmlValue(x)}, namespaces=c(ns="http://www.w3.org/2005/Atom", d="http://schemas.microsoft.com/ado/2007/08/dataservices"))
bonds_1_year = xpathSApply(xmltop, "//ns:entry/ns:content//d:BC_1YEAR", function(x){as.numeric(xmlValue(x))}, namespaces=c(ns="http://www.w3.org/2005/Atom", d="http://schemas.microsoft.com/ado/2007/08/dataservices"))
bonds_3_year = xpathSApply(xmltop, "//ns:entry/ns:content//d:BC_3YEAR", function(x){as.numeric(xmlValue(x))}, namespaces=c(ns="http://www.w3.org/2005/Atom", d="http://schemas.microsoft.com/ado/2007/08/dataservices"))

bonds = data.frame(date=strptime(bonds_dates,format="%Y-%m-%dT%H:%M:%S", tz = "GMT"), y1=bonds_1_year, y3=bonds_3_year)

library('plyr')
bonds = arrange(bonds,date)

bonds$yearmonth = format(bonds$date, format="%y-%m")
bp = boxplot(bonds$y1 ~ bonds$yearmonth)
lines(lowess(bp$stats[3,], f=1/4))

plot(bonds$date, bonds$y1, type='l')

This code didn't work in 2020. Any suggestions?

I guess you have to inspect the xml, fork the gist and edit yourself. That assuming that treasury.gov still publish the data

I figured it out, the fromurl didn't work but the fromstring did, thanks! Cordially, David