The way my DM has approached "Rope Arrows" is as follows:
There is a short length of rope attached - with an Action you can tie rope you have to the end of it.
Firing the arrow is an Action - make an attack roll against something (large objects tend to be AC 10, smaller is higher). On a hit, it takes damage as per your weapon and sticks in.
If your target was less distance away than the amount of rope you tied on the end, you catch the end of the rope automatically.
From there you can either tie the other end to your location and climb across using Athletics (DC 15, barring unforeseen circumstances)
Or you can use it as a rope swing (space permitting - no athletics check)
A single rope can hold up to 2 Medium creatures (or 1 Large or 4 Small)
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Let me reiterate though - this is not official material (because there isn't official material for anything other than a standard grappling hook).
It's merely a tested homebrew solution.