Datasets:

paperswithbacktest
/

All-Daily-Rates

pretty_name: All Daily Rates
language:
  - en
license: other
task_categories:
  - time-series-forecasting
  - tabular-regression
tags:
  - finance
  - quantitative-trading
  - backtesting
  - algorithmic-trading
  - rates
  - treasury
  - macro
  - daily
size_categories:
  - 10K<n<100K
extra_gated_prompt: >-
  This dataset is free to browse and gated for download. Approval is tied to a
  Papers With Backtest subscription, which also covers the other datasets in
  this organisation and the strategy catalogue at
  https://paperswithbacktest.com. Plans and what each one includes:
  https://paperswithbacktest.com/pricing

All Daily Rates

The US Treasury yield curve from one month to thirty years, daily back to 1962, the effective fed funds rate back to 1954, the target range, and the overnight funding complex (OBFR, TGCR, SOFR) with volumes and percentiles.

Shape measured at the next refresh of dataset_cards/facts.json. Refreshed monthly.

Why It Matters

Every long-short strategy in the catalogue was missing its cash leg, and every term-structure or carry paper its curve. All-Monthly-CoreEconomicData is monthly and lagged a month; the yields reconstructed from Bonds-Daily-Price start with that dataset. This is the daily series, from the day each one begins. A column is empty before its series existed -- SOFR starts in 2018, the one-month bill in 2001.

Load It

pip install --upgrade pwb-toolbox

from pwb_toolbox import datasets as pwb_ds

df = pwb_ds.load_dataset("All-Daily-Rates")
print(df.iloc[-1, :])

Columns

Column Name	Description
date	Observation date.
yield_1_month ... yield_30_year	Constant-maturity Treasury yields, in percent.
effective_fed_funds_rate / effective_fed_funds_volume	The overnight rate and the volume behind it.
fed_funds_target_upper / fed_funds_target_lower	The FOMC target range.
overnight_bank_funding_rate and its `obfr_*` volume and percentiles	OBFR.
tri_party_general_collateral_rate and its `tgcr_*` fields	TGCR.
secured_overnight_financing_rate and its `sofr_*` fields	SOFR.
financial_commercial_paper_90d_rate / nonfinancial_commercial_paper_90d_rate	90-day commercial paper.
fed_overnight_repo_treasury_amount / fed_overnight_reverse_repo_treasury_amount	Fed overnight operations.
interest_on_reserve_balances	IORB.

Access

Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers every dataset in this organisation and the strategy catalogue.

Elsewhere

The strategy catalogue
pwb-toolbox, the loader used in the snippet above
Every dataset in this organisation