solvency2rfr provides tidy access to the monthly risk-free interest rate (RFR)
term structures published by EIOPA for Solvency II calculations.
Once on CRAN:
install.packages("solvency2rfr")
Development version from GitHub:
# install.packages("pak")
# pak::pkg_install("JanWein/solvency2rfr")
install.packages("solvency2rfr", repos = c('https://janwein.r-universe.dev', 'https://cloud.r-project.org'))
library(solvency2rfr)
# List available publications
idx <- rfr_index()
head(idx)
#> # A tibble: 6 × 3
#> date title url
#> <date> <chr> <chr>
#> 1 2026-04-30 April 2026 https://www.eiopa.europa.eu/system/files/…/EIOPA_RFR_….zip
#> 2 2026-03-31 March 2026 https://www.eiopa.europa.eu/system/files/…/EIOPA_RFR_….zip
#> …
# Download the most recent term structures
rfr <- rfr_term_structures()
# Or for a specific date
rfr_april <- rfr_term_structures("2026-04-30")
rfr_april
#> # A tibble: 6,150 × 4
#> date country maturity rate
#> <date> <chr> <int> <dbl>
#> 1 2026-04-30 Euro 1 0.0268
#> 2 2026-04-30 Euro 2 0.0275
#> …
# With volatility adjustment
rfr_va <- rfr_term_structures("2026-04-30", curve = "spot_with_VA")
Available curve types: "spot_no_VA" (default), "spot_with_VA",
"spot_no_VA_up", "spot_no_VA_down", "spot_with_VA_up", "spot_with_VA_down".
EIOPA publishes RFR term structures monthly at: https://www.eiopa.europa.eu/tools-and-data/risk-free-interest-rate-term-structures_en
EIOPA accepts no responsibility for losses incurred in reliance on this data.
MIT © solvency2rfr authors