About US Interest Rate
The US Interest Rate dataset provides the primary credit rate from the Federal Open Market Committee (FOMC). The data starts in January 2003 and is updated on a daily frequency. This dataset is created using information from the FOMC meetings.
About Federal Reserve Bank of St Louis
The Federal Reserve Bank of St. Louis, often referred to as the St. Louis Fed, is one of the 12 regional banks that make up the United States Federal Reserve System. It is responsible for the Eighth Federal Reserve District, which includes the states of Arkansas, Illinois, Indiana, Kentucky, Mississippi, Missouri, and Tennessee, as well as portions of eastern Kansas and southern Illinois.
The St. Louis Fed, like other regional banks, participates in the formulation and implementation of monetary policy in the United States. It contributes to the Federal Open Market Committee (FOMC) meetings, where key decisions regarding interest rates and other monetary policy tools are made.
About QuantConnect
QuantConnect was founded in 2012 to serve quants everywhere with the best possible algorithmic trading technology. Seeking to disrupt a notoriously closed-source industry, QuantConnect takes a radically open-source approach to algorithmic trading. Through the QuantConnect web platform, more than 50,000 quants are served every month.
Algorithm Example
from AlgorithmImports import *
class RiskFreeInterestRateModelAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2022, 5, 21)
self.set_cash(100000)
self.add_equity("SPY", Resolution.DAILY)
def on_end_of_day(self, symbol):
self.set_holdings(symbol, 1)
# Get the average risk free rate of the last year at the current time
risk_free_rate = RiskFreeInterestRateModelExtensions.get_risk_free_rate(self.risk_free_interest_rate_model, self.time - timedelta(365), self.time)
# Plot the current interest rate and the 1-year average rate for comparison
self.plot('Interest', 'EOD', self.risk_free_interest_rate_model.get_interest_rate(self.time))
self.plot('Interest', '1Y-RW', risk_free_rate)
Example Applications
The US Interest Rate dataset provides an important economic indicator. Examples include the following applications:
- Accurately calculating indicators that are a function of the risk free rate, like Sharpe ratios.
- Forming a portfolio of assets that have a history of outperforming when the rate is increasing/decreasing.
- Canceling orders in a Risk Management model when the expected return of the asset is less than the risk-free rate.
Pricing
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US interest rate for statistics and options modeling.
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US interest rate for statistics and options modeling.
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