Is there any way to pull interest rates, or an interest rate curve, with FinancialData[]?

Question

Let's say I want to know the 5 year swap rate and the 10 year swap rate right now, is there a way to get this with FinancialData[]?

Answer 1

This is my first time using URLFetch so there is probably a cleaner method of doing this.

urlFetch10 = URLFetch["https://ycharts.com/indicators/10_year_swap_rate",
   "Content"];

tenYrSwapRatePercent = StringSplit[StringDrop[urlFetch10, 
     StringPosition[urlFetch10, "10 Year Swap Rate is at "][[1, -1]]], 
    "%"][[1]] // ToExpression

2.25

tenYrSwapRate = tenYrSwapRatePercent/100

0.0225

urlFetch5 = URLFetch["https://ycharts.com/indicators/5_year_swap_rate",
   "Content"];

fiveYrSwapRatePercent = StringSplit[StringDrop[urlFetch5, 
     StringPosition[urlFetch5, "5 Year Swap Rate is at "][[1, -1]]], 
    "%"][[1]] // ToExpression

1.69

fiveYrSwapRate = fiveYrSwapRatePercent/100

0.0169

Answer 2

Finding no solution directly in FinancialData[], I decided to pull the yield curve from the U.S. Treasury.

urlIn = URLFetch[
   "http://www.treasury.gov/resource-center/data-chart-center/\
interest-rates/Pages/TextView.aspx?data=yield"];
lastFiveDays = 
  Table[DateString[
    DatePlus[Take[DateList[], 3], i], {"Month", "/", "Day", "/", 
     "YearShort"}], {i, 0, -5, -1}];
urlSplits = Map[{#, StringSplit[urlIn, #]} &, lastFiveDays];
mostRecentCurve = 
  Map[{#[[1]], StringSplit[#[[2]][[2]], "</table>"][[1]]} &, 
    Select[urlSplits, Length[#[[2]]] == 2 &]][[1]];
mostRecentCurveNumbers = 
  StringSplit[mostRecentCurve[[2]], {">", "<"}];

dateList = Map[DateObject[
 Take[DateList[
   DatePlus[
    DateList[{mostRecentCurve[[1]], {"Month", "Day", 
       "YearShort"}}], #]], 3]] &, {{1, "Month"}, {3, 
 "Month"}, {6, "Month"}, {1, "Month"}, {2, "Year"}, {3, 
 "Year"}, {5, "Year"}, {7, "Year"}, {10, "Year"}, {20, 
 "Year"}, {30, "Year"}}];
Off[Set::write];
numbersList = 
  Select[Map[
    If[SyntaxQ[#] && NumberQ[ToExpression[#]], ToExpression[#], 
      Null] &, mostRecentCurveNumbers], NumberQ];
On[Set::write];
yieldCurveTS = TimeSeries[Transpose[{dateList, numbersList}]]

This gives a TimeSeries object with the most recent USD yield curve. One of the nice things about this is that you can specify any future date with, for example yieldCurveTS[{2022, 4, 2}] and you will get back an appropriately interpolated answer.

A guru at string parsing would probably be able to extract the most recent data more elegantly than I do above, but it works.