MathGroup Archive 2009

[Date Index] [Thread Index] [Author Index]

Search the Archive

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

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

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



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]


Bob Hanlon

---- Andreas <aagas at> 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

I've downloaded treasury bill rates from 1984 to the present (they have lots of rates available at:

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?


  • Prev by Date: Re: printing symbols at as a table
  • Next by Date: RE: Keeping plot annotations after regenerating a plot
  • Previous by thread: Need to calculate daily risk free rate from Fed data
  • Next by thread: floating point comparison