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I have previously hit this forum for some guidance on getting benchmark curve members (link below). I have managed to get this working with Bloomberg, but I was wondering, is there any way to reliably get this info across the curve without relying on Bloomberg?

I have thought to scrape this information directly from the Treasury (for ex) but are there any other resources online for this?

Cheers!

Bloomberg: Get Historical Benchmarks

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    $\begingroup$ How did you resolve the previous question? $\endgroup$
    – Dimitri Vulis
    Dec 30, 2021 at 20:31
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    $\begingroup$ There is an excel template on the terminal (XLTP <GO>) that has a relevant BDS command. An override lets you specify the date. $\endgroup$
    – pomelo_guy
    Dec 31, 2021 at 12:47
  • $\begingroup$ thanks for sharing this information. $\endgroup$
    – Dimitri Vulis
    Dec 31, 2021 at 14:15

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Here's a rough outline of what you can do:

  1. You can retrieve all the historical Treasury auctions via this url.
  2. To make things easier, I recommend that you compute a rounded_term for each auctioned issue, which can be calculated as $(\text{maturityDate} - \text{issueDate}) / 365$, rounded to the nearest integer. This is simply the original term to maturity in years.
  3. Then on each trading day, you simply query for all issues for the rounded_term of interest, sort them by auctionDate, and use the most recently auctioned issue.
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  • $\begingroup$ Helpful, thanks! $\endgroup$
    – pomelo_guy
    Dec 31, 2021 at 12:43

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