first push

.codecov.yml

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+comment: false

.github/workflows/CompatHelper.yml

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+name: CompatHelper
+
+on:
+  schedule:
+    - cron: '00 00 * * *'
+
+jobs:
+  CompatHelper:
+    runs-on: ${{ matrix.os }}
+    strategy:
+      matrix:
+        julia-version: [1.2.0]
+        julia-arch: [x86]
+        os: [ubuntu-latest]
+    steps:
+      - uses: julia-actions/setup-julia@latest
+        with:
+          version: ${{ matrix.julia-version }}
+      - name: Pkg.add("CompatHelper")
+        run: julia -e 'using Pkg; Pkg.add("CompatHelper")'
+      - name: CompatHelper.main()
+        env:
+          GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}
+        run: julia -e 'using CompatHelper; CompatHelper.main()'

.github/workflows/TagBot.yml

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+name: TagBot
+on:
+  schedule:
+    - cron: 0 * * * *
+jobs:
+  TagBot:
+    runs-on: ubuntu-latest
+    steps:
+      - uses: JuliaRegistries/TagBot@v1
+        with:
+          token: ${{ secrets.GITHUB_TOKEN }}

.gitignore

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+*.jl.cov
+*.jl.*.cov
+*.jl.mem
+/deps/deps.jl
+/docs/build
+Manifest.toml
+/docs

.travis.yml

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+## Documentation: http://docs.travis-ci.com/user/languages/julia/
+language: julia
+dist: xenial
+os:
+  - linux
+  - osx
+julia:
+  - 1.0
+  - 1.1
+  - 1.2
+  - 1.3
+  - 1.4
+  - nightly
+notifications:
+  email: false
+git:
+  depth: 99999999
+
+jobs:
+  ## uncomment following lines to deploy documentation
+  # include:
+  #   - stage: "Documentation"
+  #     julia: 1.3
+  #     os: linux
+  #     script:
+  #       - julia --project=docs -e 'using Pkg; Pkg.instantiate(); Pkg.develop(PackageSpec(path=pwd()))'
+  #       - julia --project=docs --color=yes docs/make.jl
+  #     after_success: skip
+  allow_failures:
+    - julia: nightly
+after_success:
+  - julia --project=test/coverage -e 'using Pkg; Pkg.instantiate()'
+  - julia --project=test/coverage test/coverage/coverage.jl

LICENSE.md

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+The DailyTreasuryYieldCurve.jl package is licensed under the MIT "Expat" License:
+
+> Copyright (c) 2020: Tyler Beason.
+>
+> Permission is hereby granted, free of charge, to any person obtaining a copy
+> of this software and associated documentation files (the "Software"), to deal
+> in the Software without restriction, including without limitation the rights
+> to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+> copies of the Software, and to permit persons to whom the Software is
+> furnished to do so, subject to the following conditions:
+>
+> The above copyright notice and this permission notice shall be included in all
+> copies or substantial portions of the Software.
+>
+> THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+> IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+> FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+> AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+> LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+> OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+> SOFTWARE.
+>

Project.toml

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+name = "DailyTreasuryYieldCurve"
+uuid = "9f24bdcd-220e-43b5-8e6d-85812fd68fcf"
+authors = ["Tyler Beason <[email protected]>"]
+version = "0.1.0"
+
+[deps]
+DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"
+Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
+EzXML = "8f5d6c58-4d21-5cfd-889c-e3ad7ee6a615"
+HTTP = "cd3eb016-35fb-5094-929b-558a96fad6f3"
+Missings = "e1d29d7a-bbdc-5cf2-9ac0-f12de2c33e28"
+Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
+
+[compat]
+julia = "^1"
+
+[extras]
+Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
+
+[targets]
+test = ["Test"]

README.md

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+# DailyTreasuryYieldCurve.jl
+
+![Lifecycle](https://img.shields.io/badge/lifecycle-experimental-orange.svg)<!--
+![Lifecycle](https://img.shields.io/badge/lifecycle-maturing-blue.svg)
+![Lifecycle](https://img.shields.io/badge/lifecycle-stable-green.svg)
+![Lifecycle](https://img.shields.io/badge/lifecycle-retired-orange.svg)
+![Lifecycle](https://img.shields.io/badge/lifecycle-archived-red.svg)
+![Lifecycle](https://img.shields.io/badge/lifecycle-dormant-blue.svg) -->
+[![Build Status](https://travis-ci.com/tbeason/DailyTreasuryYieldCurve.jl.svg?branch=master)](https://travis-ci.com/tbeason/DailyTreasuryYieldCurve.jl)
+[![codecov.io](http://codecov.io/github/tbeason/DailyTreasuryYieldCurve.jl/coverage.svg?branch=master)](http://codecov.io/github/tbeason/DailyTreasuryYieldCurve.jl?branch=master)
+<!--
+[![Documentation](https://img.shields.io/badge/docs-stable-blue.svg)](https://tbeason.github.io/DailyTreasuryYieldCurve.jl/stable)
+[![Documentation](https://img.shields.io/badge/docs-master-blue.svg)](https://tbeason.github.io/DailyTreasuryYieldCurve.jl/dev)
+-->
+
+This package does one thing: gets you daily yield curves from the [US Treasury](https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield). The data is served via an XML feed, but this package cleans it up into a `DataFrame` so that you can use it.
+
+
+Structure of returned data for nominal curve:
+
+| Column Name | Description |
+| ---- | ---- |
+| date | Date of yield curve |
+| m1 | 1 month constant maturity rate |
+| m2 | 2 month constant maturity rate |
+| m3 | 3 month constant maturity rate |
+| m6 | 6 month constant maturity rate |
+| y1 | 1 year constant maturity rate |
+| y2 | 2 year constant maturity rate |
+| y3 | 3 year constant maturity rate |
+| y5 | 5 year constant maturity rate |
+| y7 | 7 year constant maturity rate |
+| y10 | 10 year constant maturity rate |
+| y20 | 20 year constant maturity rate |
+| y30 | 30 year constant maturity rate |
+
+
+Structure of returned data for real curve:
+
+| Column Name | Description |
+| ---- | ---- |
+| date | Date of yield curve |
+| y5 | 5 year constant maturity real rate |
+| y7 | 7 year constant maturity real rate |
+| y10 | 10 year constant maturity real rate |
+| y20 | 20 year constant maturity real rate |
+| y30 | 30 year constant maturity real rate |
+
+
+Not all maturities were reported on every day.
+
+# Example
+
+```julia
+using DailyTreasuryYieldCurve
+
+df_rates = getyieldcurves()
+
+df_realrates = getyieldcurves(;realrates=true)
+
+```
+
+
+
+
+
+
+## Disclaimer
+
+This package is provided as-is and without guarantees. I am not affiliated with the US Treasury. Please cite the original source when using this data.

src/DailyTreasuryYieldCurve.jl

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+module DailyTreasuryYieldCurve
+
+using Reexport
+using EzXML
+using HTTP
+using Dates
+using Missings
+@reexport using DataFrames
+
+
+
+export getyieldcurves
+
+
+
+
+
+const DATAFEED = "http://data.treasury.gov/feed.svc/DailyTreasuryYieldCurveRateData"
+const DATAFEEDREAL = "http://data.treasury.gov/feed.svc/DailyTreasuryRealYieldCurveRateData"
+
+# these fields are provided by the feed (as of 20200413)
+# note that we must use :m1 because :1m is not a valid symbol
+const COLNAMES = [:id,:date,:m1,:m2,:m3,:m6,:y1,:y2,:y3,:y5,:y7,:y10,:y20,:y30,:y30dup]
+const COLNAMESREAL = [:id,:date,:y5,:y7,:y10,:y20,:y30]
+
+
+
+
+
+
+
+
+"""
+`getyieldcurves(;real::Bool=false)`
+
+Download the whole published history of daily US Treasury yield curves from the official data feed.
+
+Optionally, pass a filename if you have already downloaded the data, eg. `getyieldcurves(fn::AbstractString)`.
+
+By default, gets the nominal yield curve. Pass `realrates=true` to get the real yield curve.  The nominal series starts in 1990, while the real series starts in 2003.
+
+Returns a `DataFrame`.
+"""
+function getyieldcurves(;realrates::Bool=false)
+    if realrates
+        h = HTTP.get(DATAFEEDREAL)
+    else
+        h = HTTP.get(DATAFEED)
+    end
+    thexml = parsexml(String(h.body))
+    return _parseyieldcurves(thexml,realrates)
+end
+
+
+function getyieldcurves(fn::AbstractString;realrates::Bool=false)
+    thexml = readxml(fn)
+    return _parseyieldcurves(thexml,realrates)
+end
+
+
+
+"""
+`_parseyieldcurves(thexml,realrates)`
+
+Parser function for Treasury yield curve data. (unexported)
+"""
+function _parseyieldcurves(thexml,realrates)
+    if realrates
+        return _parserealcurves(thexml)
+    else
+        return _parsenominalcurves(thexml)
+    end
+end
+
+function _parsenominalcurves(thexml)
+    r = thexml.root
+    cnod=findall("/*/*/*[position()=7]",r)
+    @assert length(cnod) >= 1 "Rate XML parse error likely."
+
+    stripsplitstrip(s) = strip.(split(strip(s),"\n"))
+
+    strarr = map(stripsplitstrip,nodecontent.(cnod))
+    df=DataFrame(Tuple.(strarr))
+    @assert nrow(df) >= 1 "Rate XML parse error likely."
+
+    rename!(df,COLNAMES)
+    select!(df,Not([:id; :y30dup]))
+    for c in COLNAMES[2:end-1]
+        if c == :date
+            df[!,c] = Date.(parse.(DateTime,df[!,c]))
+        else
+            df[!,c] = passmissing(x->parse(Float64,x)).(replace(df[!,c],""=>missing))
+        end
+    end
+    sort!(df,:date)
+    return df
+end
+
+
+function _parserealcurves(thexml)
+    r = thexml.root
+    cnod=findall("/*/*/*[position()=7]",r)
+    @assert length(cnod) >= 1 "Rate XML parse error likely."
+
+
+    nodestr = nodecontent.(cnod)
+
+    function splitandfill(s)
+        spl = split(s)
+        L = length(spl)
+        L == length(COLNAMESREAL) && return spl
+
+        strvec = Vector{eltype(spl)}(undef,length(COLNAMESREAL))
+        for i in 1:length(COLNAMESREAL)
+            if i <= L
+                strvec[i] = spl[i]
+            else
+                strvec[i] = ""
+            end
+        end
+        return strvec
+    end
+
+    strarr = splitandfill.(nodestr)
+    df=DataFrame(Tuple.(strarr))
+    @assert nrow(df) >= 1 "Rate XML parse error likely."
+
+    rename!(df,COLNAMESREAL)
+    select!(df,Not(:id))
+    for c in COLNAMESREAL[2:end]
+        if c == :date
+            df[!,c] = Date.(parse.(DateTime,df[!,c]))
+        else
+            df[!,c] = passmissing(x->parse(Float64,x)).(replace(df[!,c],""=>missing))
+        end
+    end
+    sort!(df,:date)
+    return df
+end
+
+
+
+
+
+
+
+
+
+end # module

test/Project.toml

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+[deps]
+Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"
+Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

test/coverage/Project.toml

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+[deps]
+Coverage = "a2441757-f6aa-5fb2-8edb-039e3f45d037"

test/coverage/coverage-summary.jl

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+####
+#### Coverage summary, printed as "(percentage) covered".
+####
+#### Useful for CI environments that just want a summary (eg a Gitlab setup).
+####
+
+using Coverage
+cd(joinpath(@__DIR__, "..", "..")) do
+    covered_lines, total_lines = get_summary(process_folder())
+    percentage = covered_lines / total_lines * 100
+    println("($(percentage)%) covered")
+end

test/coverage/coverage.jl

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+# only push coverage from one bot
+get(ENV, "TRAVIS_OS_NAME", nothing)       == "linux" || exit(0)
+get(ENV, "TRAVIS_JULIA_VERSION", nothing) == "1.3"   || exit(0)
+
+using Coverage
+
+cd(joinpath(@__DIR__, "..", "..")) do
+    Codecov.submit(Codecov.process_folder())
+end