Page 1 of 1
Where do I obtain Long term treasury data
Posted: Wed Aug 10, 2011 5:05 pm
by ngcpa
I have been building data files and writing a program to test various aspects of the PP. TLT only goes back about 9 years. I have looked at other long term treasury bond funds that have a longer history (like VUSTX); but can't find one that fits too well. I find they either have shorter average maturities or much higher expenses. Although the graphs are similar, the values are always lower and more so over time. Any suggestions for a fund I can use or where I can get price history for at least 20 years?
Norm
Re: Where do I obtain Long term treasury data
Posted: Wed Aug 10, 2011 5:52 pm
by MediumTex
VUSTX is a reasonable proxy for backtesting purposes. You might write a program to amplify the volatility of VUSTX a bit and that might get you closer.
Re: Where do I obtain Long term treasury data
Posted: Thu Aug 11, 2011 1:00 am
by Tortoise
I'm thinking one could use the basic relationship:
(coupon rate) * (par value) / (market price) = yield
and rearrange to get:
(coupon rate) * (par value) / (yield) = market price
Then, for a fixed par value, you just need historical data for 30-year Treasury yields and coupon rates to calculate historical bond prices, right?
It looks like you can find 30-year Treasury yield data on web sites like Yahoo Finance (ticker ^TYX) that go back at least to 1977. And it appears that you can download historical coupon rate data from the Treasury's web site.
Once you calculate the price data from the yield and coupon rate data using the relationship above, I think you'll just need to add in the actual coupon payments. I would think that'd do it, but I could be wrong.