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Need to calculate daily risk free rate from Fed data

  • To: mathgroup at smc.vnet.net
  • Subject: [mg95216] Need to calculate daily risk free rate from Fed data
  • From: Andreas <aagas at ix.netcom.com>
  • Date: Sun, 11 Jan 2009 06:36:27 -0500 (EST)

The St. Louis Federal Reserve makes a great set of data available for financial analysis at their FRED (Federal Reserve Economic Data) site at http://research.stlouisfed.org/fred2/.

I've downloaded treasury bill rates from 1984 to the present (they have lots of rates available at: http://research.stlouisfed.org/fred2/categories/116).

The data set gives me the yearly interest rate on 3-Month T-Bills for each day i.e:

1984-12-31,	0.008120
1985-01-01,	0.008120
1985-01-02,	0.008100
1985-01-03,	0.008070
1985-01-04,	0.008080
1985-01-07,	0.008060
1985-01-08,	0.008060
1985-01-09,	0.007950
..
2008-12-30,	0.000100
2008-12-31,	0.000110
2009-01-01,	0.000110
2009-01-02,	0.000080
2009-01-05,	0.000140
2009-01-06,	0.000140

I need to calculate the daily risk free rate for each interval in the data set based on the yearly rate give for each day.

I've gotten as far as this:

1 + yearlyRate == (1 + dailyRate)^360

Does this make sense?  
If so, how do I implement this in Mathematica?  
If not, how would I do it?

A couple of related questions:

Can one use FinancialData[] to access Treasury or Libor rate information or access a risk free rate directly?

Thx.


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