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I hope to get data going back as far as possible. Someone must have computed these things, but not sure if anyone has shared these data online?

If not, if you know how I can get the data for the relevant underlyings so I can compute the bases myself, that will be helpful too.

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  • $\begingroup$ You could try an IDB (e.g. ICAP) or a trading platform (e.g. BrokerTec) for cash bond data. I have no affiliation with either. $\endgroup$
    – user42108
    Jun 17 at 17:39
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We’ve used data from TradeWeb before and the data quality was excellent. I believe the historical data goes back to 1998.

Alternatively, a lot of bank research portals have this as well. For example, Morgan Markets have this going back to the early 1990s. This has the advantage of being “free,” although you need to be a client to access.

For even longer histories, CRSP is the way to go, with daily data going back to 1961 and monthly data back to 1925. Since you are a PhD candidate, this might be the best option.

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