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Rates and yields

rates.daily is one row per series per day. The series are government bond yields, US Treasury curves, overnight reference rates (SOFR, ESTR, SONIA, EFFR) and central-bank policy rates. It is available from the Starter plan. Read it through a dataset handle.

const us10 = dataset("rates.daily", { where: { code: "GBOND.US10Y" } });
const de10 = dataset("rates.daily", { where: { code: "GBOND.DE10Y" } });

export function onBar(ctx) {
  if (us10.value !== undefined && de10.value !== undefined) {
    ctx.plot("spread", us10.value - de10.value);
  }
}

Fields

Field

Meaning

key

code|obsDate

code

Series code, e.g. GBOND.US10Y, UST.PAR.2Y, SOFR, POLICY.FED_TARGET_UPPER

name

Series name

family

gbond, ust_par, ust_real, ust_bill, ust_long, ref_rate or policy

currency

Currency of the series

unit

pct

obsDate

The day the value is for, YYYY-MM-DD

knownFrom

When the value was published, unix seconds

value

The rate or yield

Filter on code, family or currency (equals or any of); a rates handle needs one of them. h.value is the newest published value, so it always says what was known at the bar. A value published on Monday for the previous Friday appears on Monday, not on Friday.

When values become visible

Series

Visible from

Bond yields and Treasury curves

The publisher's release time on the observation date

Overnight reference rates

The next business day's publication (SOFR for Thursday appears on Friday, or on Monday after a holiday)

Policy rates

The decision's announcement

A correction appears when it was seen. Holiday fillers are not observations, so a market holiday has no row.

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