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PCRA (version 1.3.1)

USTreasuryTradeweb: USTreasuryTradeweb

Description

A data frame with end-of-day quotes from Tradeweb Markets LLC of bid and ask prices and yields on the On-the-Run and First-Off-the-Run US Treasury Notes and Bonds at 4 maturities: 2 Years, 5 Years, 10 Years and 30 Years.

Usage

data(USTreasuryTradeweb)

Arguments

Format

A data frame with end-of-day quotes from Tradeweb Markets LLC of bid and ask prices and yields on the On-the-Run and First-Off-the-Run US Treasury Notes and Bonds at 4 maturities: 2 Years, 5 Years, 10 Years and 30 Years. Prices are reported to the nearest 1/256 (0.00390625), while yields are reported to 3 decimal places. Yields are percentages, i.e. a yield of 2.125 should be interpreted as 2.125

  • Date: type `Date`. Trade Date. Not all bonds have data on all days.

  • US2Y_OTR_BidPrice: type `num`. Closing Bid Price for the 2 Year On-the-Run bond.

  • US2Y_OTR_AskPrice: type `num`. Closing Ask Price for the 2 Year On-the-Run bond.

  • US2Y_OTR_BidYield: type `num`. Closing Bid Yield to Maturity for the 2 Year On-the-Run bond.

  • US2Y_OTR_AskYield: type `num`. Closing Ask Yield to Maturity for the 2 Year On-the-Run bond.

  • US2Y_OFTR_1_BidPrice: type `num`. Closing Bid Price for the 2 Year First-Off-the-Run bond.

  • US2Y_OFTR_1_AskPrice: type `num`. Closing Ask Price for the 2 Year First-Off-the-Run bond.

  • US2Y_OFTR_1_BidYield: type `num`. Closing Bid Yield to Maturity for the 2 Year First-Off-the-Run bond.

  • US2Y_OFTR_1_AskYield: type `num`. Closing Ask Yield to Maturity for the 2 Year First-Off-the-Run bond.

  • US5Y_OTR_BidPrice: type `num`. Closing Bid Price for the 5 Year On-the-Run bond.

  • US5Y_OTR_AskPrice: type `num`. Closing Ask Price for the 5 Year On-the-Run bond.

  • US5Y_OTR_BidYield: type `num`. Closing Bid Yield to Maturity for the 5 Year On-the-Run bond.

  • US5Y_OTR_AskYield: type `num`. Closing Ask Yield to Maturity for the 5 Year On-the-Run bond.

  • US5Y_OFTR_1_BidPrice: type `num`. Closing Bid Price for the 5 Year First-Off-the-Run bond.

  • US5Y_OFTR_1_AskPrice: type `num`. Closing Ask Price for the 5 Year First-Off-the-Run bond.

  • US5Y_OFTR_1_BidYield: type `num`. Closing Bid Yield to Maturity for the 5 Year First-Off-the-Run bond.

  • US5Y_OFTR_1_AskYield: type `num`. Closing Ask Yield to Maturity for the 5 Year First-Off-the-Run bond.

  • US10Y_OTR_BidPrice: type `num`. Closing Bid Price for the 10 Year On-the-Run bond.

  • US10Y_OTR_AskPrice: type `num`. Closing Ask Price for the 10 Year On-the-Run bond.

  • US10Y_OTR_BidYield: type `num`. Closing Bid Yield to Maturity for the 10 Year On-the-Run bond.

  • US10Y_OTR_AskYield: type `num`. Closing Ask Yield to Maturity for the 10 Year On-the-Run bond.

  • US10Y_OFTR_1_BidPrice: type `num`. Closing Bid Price for the 10 Year First-Off-the-Run bond.

  • US10Y_OFTR_1_AskPrice: type `num`. Closing Ask Price for the 10 Year First-Off-the-Run bond.

  • US10Y_OFTR_1_BidYield: type `num`. Closing Bid Yield to Maturity for the 10 Year First-Off-the-Run bond.

  • US10Y_OFTR_1_AskYield: type `num`. Closing Ask Yield to Maturity for the 10 Year First-Off-the-Run bond.

  • US30Y_OTR_BidPrice: type `num`. Closing Bid Price for the 30 Year On-the-Run bond.

  • US30Y_OTR_AskPrice: type `num`. Closing Ask Price for the 30 Year On-the-Run bond.

  • US30Y_OTR_BidYield: type `num`. Closing Bid Yield to Maturity for the 30 Year On-the-Run bond.

  • US30Y_OTR_AskYield: type `num`. Closing Ask Yield to Maturity for the 30 Year On-the-Run bond.

  • US30Y_OFTR_1_BidPrice: type `num`. Closing Bid Price for the 30 Year First-Off-the-Run bond.

  • US30Y_OFTR_1_AskPrice: type `num`. Closing Ask Price for the 30 Year First-Off-the-Run bond.

  • US30Y_OFTR_1_BidYield: type `num`. Closing Bid Yield to Maturity for the 30 Year First-Off-the-Run bond.

  • US30Y_OFTR_1_AskYield: type `num`. Closing Ask Yield to Maturity for the 30 Year First-Off-the-Run bond.

Details

This data set with the bid and ask prices and yields of 2, 5, 10 and 30-year U.S. Treasuries is supplied by Tradeweb Markets LLC. All prices and yields are reported at the end of the trading day. Prices are reported to the nearest 1/256 (0.00390625), while yields are reported to 3 decimal places.

References

Chapter 14 (Fixed Income Portfolio Management) of Martin, Philips, Scherer, Stoyanov and Li, Portfolio Construction and Risk Analysis, Springer, 2024.

Examples

Run this code
 
data(USTreasuryTradeweb)
names(USTreasuryTradeweb)
head(USTreasuryTradeweb, 5)
tail(USTreasuryTradeweb, 5)

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