| --- |
| 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. |
|
|
| <!-- MEASURED:START - rewritten by dataset_cards/refresh.py --> |
| |
| Shape measured at the next refresh of `dataset_cards/facts.json`. Refreshed monthly. |
|
|
| <!-- MEASURED:END --> |
|
|
| ## 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 |
|
|
| ```bash |
| pip install --upgrade pwb-toolbox |
| ``` |
|
|
| ```python |
| 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](https://paperswithbacktest.com/pricing). The same subscription covers every dataset in this organisation and the strategy catalogue. |
|
|
| ## Elsewhere |
|
|
| - [The strategy catalogue](https://paperswithbacktest.com/strategies) |
| - [`pwb-toolbox`](https://github.com/paperswithbacktest/pwb-toolbox), the loader used in the snippet above |
| - [Every dataset in this organisation](https://huggingface.co/datasets/paperswithbacktest) |
|
|
