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I am looking for a resource to download fixed income data online, much like there is access to stock data from yahoo. At the very least I d like the treasury bonds.

I use python, but any help would be appreciated.

Answer 1

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

For example:

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

Number 2006-28: The U.S. Treasury Yield Curve: 1961 to the Present. Refet S. Gurkaynak, Brian Sack, and Jonathan H. Wright. This is accompanied by a history of yields and the parameters of a fitted smooth curve model.

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

Yahoo Finance currently displays treasury bond prices from ValuBond. http://bonds.yahoo.com/ But these are crap – you can easily verify the yields are out of date.

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

(The FINRA yield summary seems up to date for on the run issues – different from the 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

That will be hard to impossible. Little of this is exchange-traded (i.e. public) and even if it were, exchanges are unlikely to give data away for free. Sales of data now comprise more than half of total revenue for a number of exchanges.

Answer 3

Try Bloomberg.

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