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: