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I am on my thesis about Hull-White model and I need the bond price to calibrate the parameters. How can I get historical bond price data instead of historical bond yield data?

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    $\begingroup$ Hope that your university has a Bloomberg terminal somewhere... $\endgroup$
    – Lisa Ann
    Oct 23 '19 at 6:27
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Since MIFiD 2 came into force (2018 from memory), many bond quotes/trades in the EU need to be made publicly available in machine-readable form.

One of the venues for some of this information is the TRAX APA: https://www.traxapa.com/apa-publication/index.html#/trades

It doesn't have historical data beyond a certain timeframe (maybe 1 day?), but you could scrape this data for a short period of time, or even manually download it a few times a day, and build up an interesting bond pricing dataset.

This probably isn't exhaustive and there are other similar venues - this is data fragmentation one of the problems bond market makers face!

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talk to your advisor or cohort regarding sources available through your school.

else: What data sources are available online?

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