query and analyze US Treasury yield data
Project description
Treasury Curve Data
Using the Developer API found at treasury.gov, one can find yield curves dating back to the 90's.
Selecting and plotting data
Access data for a particular date using curves("2022-08-08")
.
curves will find the nearest valid date (weekday) and returns a pandas dataframes of all curves
available on that date or nearest to it. calling curves()
will use the current date.
Optionally specify curves(allow_missing=True)
to keep years with missing data.
Alternatively, you can retrieve all data by calling download()
.
Once you have the data, it is possible to plot out the yield curves with
plot(curves_data, start="2022-01-01", end="2022-05-03", num_years=1)
.
Specify the number of years, or pick a start and end date to sample from, as the chart would otherwise
become inundated with yield curve data.
Save your data in a spreadsheet using export(curves_data, file_extension="csv")
and specify
"csv" or "xlsx" to determine the file type.
Using treasurycurves module from the Command Line
$ python treasury.py --help
usage: treasury.py [-h] [-a] [-s START] [-e END] [-d DATE] [-y YEARS] [-p] [-o OUTPUT]
treasurycurves - query and analyze US Treasury yield data
optional arguments:
-h, --help show this help message and exit
-a, --allowna Allow NaN values
-s START, --start START
Year to start analysis
-e END, --end END Year to end analysis
-d DATE, --date DATE Date in YYYY-MM-DD to analyze
-y YEARS, --years YEARS
Num years before end to analyze
-p, --plot Plot yield curves
-o OUTPUT, --output OUTPUT
File extension to save data (csv or xlsx), leave empty to avoid saving file
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