Download historical interest rate data

[Andy Nguyen]

Anyone here uses interest rate data at work?
The usual setup at a trading desk is that you will hook up to a database that contain the IR curves owned by the desks using IR curves (equity hybrid desk, IR desk,etc). You can then pull out daily IR curves, swap rate, etc from this table. Some database even contain the rates going back dozen years.
Now, besides this internal source of data, I'm interested in other alternative sources that I can programmatically pull the data from.
Any free data that I can pull from the web?

 

[daleholborow]

US Treasury interest rate data

Hi Andy,

Give these a try perhaps?

U.S. Treasury - Daily Treasury Yield Curve
U.S. Treasury - Daily Treasury Yield Curve
U.S. Treasury - Daily Treasury Yield Curve

If you find any others, particularly UK treasury data in a similar format, please let me know, I'm currently working on a project for my thesis that requires it. I'm *hoping* I can get this out of a Bloomberg system at my uni, their installs of DataStream and CompuStat don't appear to have what I am looking for ....

Cheers

 

[Andy Nguyen]

Dale,
I posted this a while ago Master list of free financial data - QuantNetwork - Financial Engineering Forum
You may find something useful there.

 

[charlesdwright]

Andy,

No Bloomberg there?

 

[Andy Nguyen]

Chas,
We don't want to be tie up with Bloomberg for any kind of data. We use Bloomberg terminals mostly as trading communication tools