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:
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?
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