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Would anyone know and API or Database where one could access Zero Coupon Bond Yield Curves? Also, is it wrong to use Coupon Paying Bonds Yield Curves and then zero-finding and then bootstrapping to find the price of a Zero Coupon Bond as I can currently only find the prices of Coupon Paying Bonds.

Thank You

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The Fed publishes yield curve data (par, zero & fwd) built with the Svensson model and using coupon bonds: http://www.federalreserve.gov/econresdata/researchdata/feds200628_1.html.

The data is 2 day delayed, however.

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  • $\begingroup$ Thank You. However, how do you know this data is for a Zero coupon bond? Also, I don't think it would be possible to easily access this data via a programming language? $\endgroup$ – Jojo Jun 9 '15 at 15:17
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    $\begingroup$ @Jojo, if you look at the paper that describes the methodology (federalreserve.gov/pubs/feds/2006/200628/200628pap.pdf), it has a table with the column keys; some of them are zero rates. In fact, all the parameters are publishes, so you can calculate any rate you want. This is an HTML page that can be parsed pretty easily. There's also an Excel sheet that you can download and parse. $\endgroup$ – Helin Jun 9 '15 at 16:01
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    $\begingroup$ federalreserve.gov/pubs/feds/2006/200628/200628abs.html $\endgroup$ – Helin Jun 10 '15 at 17:50
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    $\begingroup$ A reported number of 3 indicates 3% (0.03). $\endgroup$ – Helin Jun 17 '15 at 16:19
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    $\begingroup$ @Jojo I use this dataset extensively for research purposes. Also, you can just compare the numbers with quoted yields to get a sense of scale. $\endgroup$ – Helin Jun 17 '15 at 19:43

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