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Re: Need to calculate daily risk free rate from Fed data

  • To: mathgroup at smc.vnet.net
  • Subject: [mg95248] Re: [mg95216] Need to calculate daily risk free rate from Fed data
  • From: Bob Hanlon <hanlonr at cox.net>
  • Date: Mon, 12 Jan 2009 06:25:14 -0500 (EST)
  • Reply-to: hanlonr at cox.net

dailyRate[yearlyRate_?NumericQ, year_: Date[][[1]]] :=  
 Module[{dr, days},
  days = DateDifference[{year, 1, 1}, {year + 1, 1, 1}];
  dr /. FindRoot[1 + yearlyRate == (1 + dr)^days, {dr, yearlyRate/366}][[1]]]

year defaults to current year

dailyRate[0.008120]

0.000022157

For the same yearly rate, the daily rate during a leap year would be slightly lower since there is an additional day to arrive at the same yearly rate

dailyRate[0.008120, 2008]

0.0000220964


Bob Hanlon

---- Andreas <aagas at ix.netcom.com> wrote: 

=============
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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