Fixed Income
The Fixed Income menu functions for reference rates (ESTER, SOFR, SONIA and Ameribor), central bank rates (FRED, FOMC projections and ECB key interest rates), government bonds (treasury rates for any country, us-specific rates, yield curves), corporate bonds (ICE BofA Corporate Indices, Moody's AAA and BAA Corporate Indices, Commercial Paper, Spot Rates and HQM Corporate Yield Curve) and spreads (ICE BofA spreads, constant maturity spreads, and federal funds rate).
The menu relies on FRED for data requests, please refer to the API keys guide for information on how to obtain and set a key for FRED.
Usage
Enter the Fixed Income menu by typing fixedincome into the Terminal from the Main menu, or use the absolute path:
/fixedincome
The menu has groups of commands related to the type of data:
- Reference Rates
- Central Bank Rates
- Government Bonds
- Corporate Bonds
- Spreads
Most commands are a time series, and they will have --start and --end arguments. The specific series can be selected in functions where a --parameter argument is supplied.
SOFR
Enter, sofr, to get the Secured Overnight Financing Rate as a chart.
/fixedincome/sofr
USRates
The usrates command is parameterized for:
- TIPS (tips)
- Bills (tbill)
- Constant Maturity (cmn)
The lengths of duration will differ between the three. To see the available combinations, use the --options flag.
/fixedincome/usrates --options
| tbill | cmn | tips | |
|---|---|---|---|
| 4_week | DTB4WK | - | - |
| 1_month | - | DGS1MO | - |
| 3_month | TB3MS | DGS3MO | - |
| 6_month | DTB6 | DGS6MO | - |
| 1_year | DTB1YR | DGS1 | - |
| 2_year | - | DGS2 | - |
| 3_year | - | DGS3 | - |
| 5_year | - | DGS5 | DFII5 |
| 7_year | - | DGS7 | DFII7 |
| 10_year | - | DGS10 | DFII10 |
| 20_year | - | DGS20 | DFII20 |
| 30_year | - | DGS30 | DFII30 |
Make the selection with a syntax like:
/fixedincome/usrates -p tbill -m 1_year --start 2009-01-01
ICESpread
The icespread command are the Option-Adjusted Spreads from the ICE BofA Corporate Bond Index series.
Adding, --category duration, will place all of the US indices on the same chart.
icespread --category duration
Treasury
The treasury command allows the comparison between multiple countries at the short or long ends of rates.
treasury --forecast --short united_kingdom,united_states,germany --start 2014-01-01
YCRV
The ycrv command displays the yield curve on a specific date. The default state is the most recent. To view a historical date, add the --date argument.
ycrv --date 2008-11-03