| Title: | 'EIOPA' Risk-Free Interest Rate Term Structures for Solvency II |
| Version: | 0.1.0 |
| Description: | Downloads and parses the risk-free interest rate ('RFR') term structures published monthly by the European Insurance and Occupational Pensions Authority ('EIOPA') for Solvency II calculations. Provides a tidy data frame interface to the data, accessed via the official 'EIOPA' feed at https://www.eiopa.europa.eu/feed/53/rss_en. |
| Depends: | R (≥ 4.1.0) |
| License: | MIT + file LICENSE |
| Encoding: | UTF-8 |
| Language: | en-US |
| RoxygenNote: | 8.0.0 |
| URL: | https://github.com/JanWein/solvency2rfr |
| BugReports: | https://github.com/JanWein/solvency2rfr/issues |
| Imports: | httr2 (≥ 1.0.0), readxl (≥ 1.4.0), tibble (≥ 3.2.0), xml2 (≥ 1.3.0) |
| Suggests: | knitr, rmarkdown, testthat (≥ 3.0.0), withr |
| Config/testthat/edition: | 3 |
| NeedsCompilation: | no |
| Packaged: | 2026-05-11 07:54:25 UTC; 1003177 |
| Author: | Jan-Hendrik Weinert
 [aut, cre] |
| Maintainer: | Jan-Hendrik Weinert <janhendrikweinert@gmail.com> |
| Repository: | CRAN |
| Date/Publication: | 2026-05-14 09:50:06 UTC |
solvency2rfr: EIOPA Risk-Free Interest Rate Term Structures for Solvency II
Description
Downloads and parses the risk-free interest rate (RFR) term structures published monthly by the European Insurance and Occupational Pensions Authority (EIOPA) for Solvency II calculations. Provides a tidy tibble interface to the data, accessed via the official EIOPA RSS feed at https://www.eiopa.europa.eu/feed/53/rss_en.
Author(s)
Maintainer: Jan-Hendrik Weinert janhendrikweinert@gmail.com (ORCID)
Authors:
Jan-Hendrik Weinert janhendrikweinert@gmail.com (ORCID)
See Also
Useful links:
Report bugs at https://github.com/JanWein/solvency2rfr/issues
List available EIOPA RFR publications
Description
Fetches the EIOPA RSS feed and returns a tibble of all available risk-free rate publications with their reference dates and download URLs.
Usage
rfr_index(feed_url = rfr_feed_url())
Arguments
feed_url |
The URL of the EIOPA RSS feed. Defaults to the official feed URL. Override only for testing. |
Details
The EIOPA RSS feed contains monthly RFR publications as well as
background documents (technical documentation, UFR reports, etc.).
rfr_index() filters the feed to return only the monthly ZIP
publications and excludes PDF, XLSX, and other document types.
An internet connection is required.
Value
A tibble::tibble() with columns:
-
date(Date): The reference date of the publication (end of month). -
title(character): The publication title (e.g."April 2026"). -
url(character): Direct download URL for the ZIP file.
Examples
idx <- rfr_index()
head(idx)
Download EIOPA RFR term structures as a tidy tibble
Description
Downloads the monthly ZIP file for a given reference date, extracts
the Term_Structures.xlsx file, and returns the selected interest
rate curve as a tidy tibble.
Usage
rfr_term_structures(
date = NULL,
curve = "spot_no_VA",
feed_url = rfr_feed_url()
)
Arguments
date |
A |
curve |
One of |
feed_url |
The URL of the EIOPA RSS feed. Rarely needs to be changed. |
Details
The EIOPA RFR term structures are published around the 5th of each month for the previous month-end. An internet connection is required.
Rates are returned as decimals, not percentages.
Value
A tibble::tibble() with columns:
-
date(Date): The reference date. -
country(character): Country or currency area name (e.g."Euro","Germany","Switzerland"). -
maturity(integer): Maturity in years (1 to 150). -
rate(double): Annual spot rate as a decimal (e.g.0.0268for 2.68 %).
See Also
rfr_index() to list all available publications.
Examples
# Get the most recent term structures
rfr <- rfr_term_structures()
head(rfr)
# Get a specific month
rfr <- rfr_term_structures("2026-04-30")
# Get the curve including volatility adjustment
rfr_va <- rfr_term_structures(curve = "spot_with_VA")