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