This project automates the process of fetching, processing, and storing daily Treasury Par Yield Curve Rates data from the US Department of the Treasury. It provides a reliable and up-to-date source of Treasury yield curve data for financial analysis and research purposes.
- Data Retrieval: The project downloads the latest Daily Treasury Par Yield Curve Rates data from the US Department of the Treasury website.
- Data Storage: The processed data is committed to a GitHub repository, creating a historical record of Treasury yield curve rates.
- Automated Execution: The entire process is automated to run daily, ensuring the dataset is always current.
- Scheduled Execution: The project is set up to run automatically using Google Cloud Run's scheduled tasks.
- Data Download: The script uses the provided URL to download the latest CSV file containing Treasury Par Yield Curve
commit to GitHub/data
Throw an error if NOT EXIST
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https://www.quantconnect.com/data/us-treasury-yield-curve https://github.com/QuantConnect/Lean.DataSource.USTreasury/blob/master/USTreasuryYieldCurveDataAlgorithm.cs https://github.com/QuantConnect/Lean.DataSource.USTreasury/ https://github.com/QuantConnect/Lean.DataSource.USTreasury/blob/master/USTreasuryYieldCurveRate.cs
Treasury Par Yield Curve Rates: These rates are commonly referred to as "Constant Maturity Treasury" rates, or CMTs. Yields are interpolated by the Treasury from the daily par yield curve. This curve, which relates the yield on a security to its time to maturity, is based on the closing market bid prices on the most recently auctioned Treasury securities in the over-the-counter market. These par yields are derived from indicative, bid-side market price quotations (not actual transactions) obtained by the Federal Reserve Bank of New York at or near 3:30 PM each trading day. The CMT yield values are read from the par yield curve at fixed maturities, currently 1, 2, 3, 4 and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a par yield for a 10-year maturity, for example, even if no outstanding security has exactly 10 years remaining to maturity.
docker build -t gcr.io/dfg-analytics-insights-prod/us-department-treasury . docker push gcr.io/dfg-analytics-insights-prod/us-department-treasury
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Date,"1 Mo","2 Mo","3 Mo","4 Mo","6 Mo","1 Yr","2 Yr","3 Yr","5 Yr","7 Yr","10 Yr","20 Yr","30 Yr" 10/07/2024,5.00,4.87,4.77,4.67,4.45,4.24,3.99,3.89,3.86,3.92,4.03,4.37,4.30 10/04/2024,5.01,4.88,4.73,4.68,4.45,4.20,3.93,3.84,3.81,3.88,3.98,4.33,4.26 10/03/2024,4.99,4.85,4.68,4.61,4.37,4.02,3.70,3.62,3.62,3.71,3.85,4.24,4.18 10/02/2024,4.92,4.83,4.69,4.61,4.36,3.97,3.63,3.54,3.55,3.65,3.79,4.19,4.14 10/01/2024,4.96,4.87,4.71,4.63,4.36,3.96,3.61,3.52,3.51,3.60,3.74,4.14,4.08 09/30/2024,4.93,4.87,4.73,4.65,4.38,3.98,3.66,3.58,3.58,3.67,3.81,4.19,4.14 09/27/2024,4.90,4.87,4.68,4.64,4.35,3.90,3.55,3.49,3.50,3.60,3.75,4.15,4.10 09/26/2024,4.90,4.87,4.68,4.65,4.38,3.96,3.60,3.54,3.55,3.65,3.79,4.17,4.12 09/25/2024,4.79,4.78,4.69,4.64,4.36,3.89,3.53,3.49,3.52,3.65,3.79,4.18,4.14 09/24/2024,4.78,4.78,4.69,4.63,4.36,3.88,3.49,3.44,3.47,3.60,3.74,4.13,4.09 09/23/2024,4.85,4.84,4.72,4.65,4.40,3.91,3.57,3.47,3.51,3.62,3.75,4.12,4.09 09/20/2024,4.87,4.88,4.75,4.70,4.43,3.92,3.55,3.46,3.48,3.59,3.73,4.10,4.07 09/19/2024,4.89,4.91,4.80,4.73,4.46,3.93,3.59,3.47,3.49,3.60,3.73,4.11,4.06 09/18/2024,4.91,4.91,4.84,4.76,4.50,3.95,3.61,3.49,3.47,3.58,3.70,4.08,4.03 09/17/2024,5.05,5.05,4.95,4.87,4.55,3.99,3.59,3.45,3.44,3.53,3.65,4.02,3.96 09/16/2024,5.11,5.10,4.96,4.88,4.55,3.96,3.56,3.42,3.41,3.51,3.63,4.01,3.94
