Back in 2020 I started to compile and share financial data in dataverse. The data covers corporate finance events from the DFP and FRE systems. The available tables are the same I use for my research and teaching material, and will be updated once a year.
Today I updated all datasets. The available data are:
R Package Source of Data Description Direct Link Last Update GetTDData Tesouro Nacional Prices and yields of brazilian sovereign bonds Link 2023-04-18 GetFREData CVM Corporate dataset from FRE systems Link 2023-04-18 GetDFPData2 CVM Annual Financial Reports from DFP system Link 2023-04-18
The latest version of GetTDData offers function get.yield.curve to download the current Brazilian yield curve directly from Anbima. The yield curve is a financial tool that, based on current prices of fixed income instruments, shows how the market perceives the future real, nominal and inflation returns. You can find more details regarding the use and definition of a yield curve in Investopedia.
Unfortunately, function get.yield.curve only downloads the current yield curve from the website. Data for historical curves over five business days are not available in Anbima website.
The new version of GetTDData is available in github and CRAN: