A simple command line tool for downloading or updating daily US interest rates (Par Yield Curve Rates) from the US Department of the Treasury.
To install run:
> pip install dailytreasuryrates
To create or update the file rates.csv with the latest treasury rates, run the following command:
> dailytreasuryrates rates.csv
This will look for the rates.csv file in the current folder and append any new data that is available for download on the US treasury site. You can also specify a fully qualitied path like C:\dataset\myrates.csv if you want to maintain the rates files at a different location.
A common usage for the rates-file it to load it into Python with Pandas for processing:
import pandas as pd
df = pd.read_csv('rates.csv', parse_dates=["Date"]).set_index("Date")
The output file is a csv file.
Date,1 Mo,2 Mo,3 Mo,4 Mo,6 Mo,1 Yr,2 Yr,3 Yr,5 Yr,7 Yr,10 Yr,20 Yr,30 Yr
1990-01-02,,,7.83,,7.89,7.81,7.87,7.9,7.87,7.98,7.94,,8.0
1990-01-03,,,7.89,,7.94,7.85,7.94,7.96,7.92,8.04,7.99,,8.04
...
2023-03-06,4.75,4.79,4.93,5.02,5.22,5.05,4.89,4.61,4.27,4.16,3.98,4.14,3.92
2023-03-07,4.8,4.88,5.04,5.12,5.32,5.22,5.0,4.66,4.31,4.17,3.97,4.11,3.88
- The first columns contains the date in
yyyy-mm-ddformat. - Dates are sorted in ascending order.
- The first date is Jan 2nd 1990.
- The number of tenors has grown over time. E.g. in 1990 there was no
1 Monthand2 Monthtennor, but now there is. These missing values for older dates have empty string in the csv file, as can be seen in the snipped above.
Data gets downloaded from the U.S. DEPARTMENT OF THE TREASURY : Daily Treasury Par Yield Curve Rates