sofr
Secured Overnight Financing Rate.
The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralizing by Treasury securities.
Parameters
- standard
- federal_reserve
- fred
start_date: date | None | str
Start date of the data, in YYYY-MM-DD format.
end_date: date | None | str
End date of the data, in YYYY-MM-DD format.
start_date: date | None | str
Start date of the data, in YYYY-MM-DD format.
end_date: date | None | str
End date of the data, in YYYY-MM-DD format.
start_date: date | None | str
Start date of the data, in YYYY-MM-DD format.
end_date: date | None | str
End date of the data, in YYYY-MM-DD format.
frequency: Literal['a', 'q', 'm', 'w', 'wef', 'weth', 'wew', 'wetu', 'wem', 'wesu', 'wesa', 'bwew', 'bwem'] | None
Description
Frequency aggregation to convert daily data to lower frequency.
a = Annual
q = Quarterly
m = Monthly
w = Weekly
wef = Weekly, Ending Friday
weth = Weekly, Ending Thursday
wew = Weekly, Ending Wednesday
wetu = Weekly, Ending Tuesday
wem = Weekly, Ending Monday
wesu = Weekly, Ending Sunday
wesa = Weekly, Ending Saturday
bwew = Biweekly, Ending Wednesday
bwem = Biweekly, Ending Monday
aggregation_method: Literal['avg', 'sum', 'eop'] | None
Description
A key that indicates the aggregation method used for frequency aggregation.
avg = Average
sum = Sum
eop = End of Period
transform: Literal['chg', 'ch1', 'pch', 'pc1', 'pca', 'cch', 'cca', 'log'] | None
Description
Transformation type
None = No transformation
chg = Change
ch1 = Change from Year Ago
pch = Percent Change
pc1 = Percent Change from Year Ago
pca = Compounded Annual Rate of Change
cch = Continuously Compounded Rate of Change
cca = Continuously Compounded Annual Rate of Change
log = Natural Log
Returns
results: SOFR
Serializable results.
provider: Optional[Literal['federal_reserve', 'fred']]
Provider name.
warnings: Optional[list[Warning_]]
list of warnings.
chart: Optional[Chart]
Chart object.
extra: dict[str, Any]
Extra info.
Data
- standard
- federal_reserve
- fred
date: date | str
The date of the data.
rate: float
Effective federal funds rate.
percentile_1: float | None
1st percentile of the distribution.
percentile_25: float | None
25th percentile of the distribution.
percentile_75: float | None
75th percentile of the distribution.
percentile_99: float | None
99th percentile of the distribution.
volume: float | None
The trading volume.The notional volume of transactions (Billions of $).
date: date | str
The date of the data.
rate: float
Effective federal funds rate.
percentile_1: float | None
1st percentile of the distribution.
percentile_25: float | None
25th percentile of the distribution.
percentile_75: float | None
75th percentile of the distribution.
percentile_99: float | None
99th percentile of the distribution.
volume: float | None
The trading volume.The notional volume of transactions (Billions of $).
date: date | str
The date of the data.
rate: float
Effective federal funds rate.
percentile_1: float | None
1st percentile of the distribution.
percentile_25: float | None
25th percentile of the distribution.
percentile_75: float | None
75th percentile of the distribution.
percentile_99: float | None
99th percentile of the distribution.
volume: float | None
The trading volume.The notional volume of transactions (Billions of $).
average_30d: float | None
30-Day Average SOFR
average_90d: float | None
90-Day Average SOFR
average_180d: float | None
180-Day Average SOFR
index: float | None
SOFR index as 2018-04-02 = 1