Online Fixed Income Data

Question

I am looking for a resource to download fixed income data online, as well as access to stock data from yahoo. At least I need Treasury bonds.

I am using python, but any help would be appreciated.

Answer 1

Treasury price history is usually proprietary (Tradeweb, Bloomberg, CRSP), but yield history is published.

For instance:

http://www.federalreserve.gov/pubs/feds/2006/

No. 2006-28: US Treasury yield curve: from 1961 to the present. Abstract S. Gurkainak, Brian Sack and Jonathan H. Wright. This is followed by yield history and smooth curve model parameters.

Another free source of returns and other data is the publication of Federal Reserve H.15. http://www.federalreserve.gov/releases/h15/update/

Yahoo Finance is currently showing treasury bond prices from ValuBond. http://bonds.yahoo.com/ But this is crap - you can easily check that profitability is out of date.

FINRA offers corporate and treasury bond prices through a web interface. I looked at a couple of treasury prices, and they seemed to be 2 days old. http://cxa.marketwatch.com/finra/MarketData/

(The FINRA profitability summary appears to be relevant for launch problems - different from H.15, which is constant maturity.)

For corporate bonds, TRACE is your friend. Go here: http://cxa.marketwatch.com/finra/BondCenter/TraceDownloads.aspx

Answer 2

It will be difficult. Not only is this an exchange rate (i.e. Public), and even if this happens, exchanges are unlikely to provide data for free. Data sales currently account for more than half of total revenue for a number of exchanges.

Answer 3

Try Bloomberg .