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I made FRBData package and registerd it on CRAN.
This website provide many economical data such as consumer credit, money stock.

(But, it has only a function about interest rate now.　I will create other functions to download other macro-economical data in next version.)

First, because some mirror-site don’t update this package at this time, you should install it via CRAN.
(you may need to install the R which has version more than 2.12.)

install.packages("FRBData", repos = "http://cran.r-project.org")

library("FRBData")

As an example, we download treasury and swap curve from 2005 to 2011.
start <- as.Date("2005-12-31")
end   <- as.Date("2011-03-31")
curve.treasury <- GetInterestRates("TCMNOM", from = start, to = end)
curve.swap     <- GetInterestRates("SWAPS",  from = start, to = end)

these data are an xts object.
> class(curve.swap)
[1] "xts" "zoo"
1Y   2Y   3Y   4Y   5Y   7Y  10Y  30Y
2006-01-03 4.83 4.81 4.80 4.82 4.83 4.86 4.90 5.05
2006-01-04 4.79 4.76 4.76 4.78 4.80 4.84 4.90 5.08
2006-01-05 4.79 4.76 4.76 4.77 4.79 4.83 4.89 5.06
2006-01-06 4.81 4.78 4.78 4.80 4.81 4.85 4.90 5.08
2006-01-09 4.81 4.77 4.77 4.78 4.80 4.83 4.88 5.05
2006-01-10 4.83 4.81 4.80 4.82 4.83 4.86 4.92 5.08

plot(curve.swap[, "10Y"] - curve.treasury[, "10Y"], main = "swap spread")

plot time-varying treasury term structure
#plot yield curve by each year
curve.treasury.each.year <- t(curve.treasury[endpoints(curve.swap, on = "years")])
par(xaxt="n")
matplot(curve.treasury.each.year, main = "time-varying treasury yield curve",
type = "l", lwd = 2,lty = 1, xlab = "Term", ylab = "Yield")
legend(8.5, 2.0, legend = substr(colnames(curve.treasury.each.year), 1, 4),
col=1:ncol(curve.treasury.each.year), lty = 1, lwd = 2)
par(xaxt = "s")
axis(1,1:length(rownames(curve.treasury.each.year)),rownames(curve.treasury.each.year))

If you would like to get other interest rate data, please check Reference manual.

I think that this package will provide you good chance of analyzing yield curve such as yield curve e arbitrage.
Enjoy !
(...and tell me interesting quant job in secret 🙂 )