But the XML calls appear to run into a problem when the markets are closed on a weekday. For example, check out the February 2015 Nominal Yields table in your spreadsheet. The market was closed on 2/16/15; if you check the Nominal Yields XML file, you’ll see the date is presented, but there were no yields provided. Since dates and yields are presently separate XML calls, this leads to an inconsistencies moving forward and, in fact, the data are incorrect for dates after 2/16/15.
Oddly enough, there is no problem for the Real Yield table. Maybe this is a one-time issue?
]]>It’s a good idea for the zero coupon nominal yields. I’ve read that the strips market is very liquid, so I think using the strips yields would be accurate. I wasn’t aware that the WSJ had the strips quotes. I’ve looked them up before via my online brokerage site, but hadn’t seen them elsewhere. Thanks for the link! Now, if I could just find a data source that has the strips quotes in an XML format!
Also, after reading your first comment I did a search on “TIPS strips” to see if there was any traded security which would give me the zero coupon real yields. I found this article from 2008: http://seekingalpha.com/article/107144-tips-strips-redux Not sure if there have been any changes since 2008, but it looks it might be difficult to find the zero coupon securities for the real rates…still need to bootstrap for those I guess.
]]>The strips would work great for building the nominal curve. I agree that it would be more accurate (for what I’m trying to do) than using the coupon bond yields, but I’m not sure if there is an equivalent zero-coupon source for real interest rates? I don’t know if there is any significant market for TIPS strips? Also, the Treasury website data can be automatically pulled into a Google Docs spreadsheet very easily and cleanly since it is available in XML format. I haven’t found a similar XML based data source for strips…but there may be one out there.
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