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First, a quick comment on Bloomberg symbols such as USGG10YR. These are actually yields on "generic bonds"; typically these are benchmark, on-the-run issues. Long story short, these are not zero coupon bond yields. For fitted, constant maturity zero coupon rates or par yields, you've already compiled some of the major public sources. Here's a ...


The emini open for day T refers to the start of trading at 6pm NY time (5pm chicago) the night before (day T-1). The trading stops at 5pm NY time and then just one hour later trading for the next day starts. Historically the Big S&P contracts started trading at 9:30 am (8:30 chicago) but these contracts no longer trade. I used to write down the open for ...


Haven't used it myself (yet) but looks promising

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