Properly Data choosing

White Noise

New Member
Hello guys,

I have a problem about choosing the right data to my simulations. I need some data connected with:
1. Short rate changes for US government bond pricing calculations to use them in the Vasicek model to simulate and calibrate short rate paths in Vasicek dynamics formula.
2. I also need some data about US yield curve value changes to simulate and calibrate yield curve in Longstaff model.
But now i am a bit confused about the issue of interpretation the data which I had found. I found this webpage: Daily Treasury Yield Curve Rates. As I understand this data is connected with point number 2, so it is changing in the yield curve value. Am I right ? And the next question is where can I find some data about changing of short rates which I also need ?

Hope I understand this thing right and my question sounds reasonable. Thank you in advance for your time.
 

Ken Abbott

Managing Director
When you say "short rate" do you mean the front end of the UST yield curve of the instantaneous Vasicek short rate? If the former, the Federal Reserve H-15 is the ultimate source. There's historical data there, as well.
 

White Noise

New Member
But I have a question. As I understand there is a difference between risk-free rate data and yield curve rate data. Or am I wrong ? Because when I think about risk-free rate data r_t I want to use it to calculate a price of the zero-coupon bond at the time 0 - denote it as B(0,T). And then calculate the yield from the formula: \[ Y_T\;=\;\frac{-\ln(B(0,T))}T \].

My question is if the website you gave me and the website i pasted here (Daily Treasury Yield Curve Rates) is connected with yield curve values ? So with Y_T ? Or with the values of risk-free rate r_t which can be described in Vasicek Model by: \[ dr_t\;=\;a(b\;-\;r_t)dt\;+\;\sigma dW_t \]

Maybe my question is stupid but I am a bit confused about that.
 
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StephenKim

Member
C++ Student
But I have a question. As I understand there is a difference between risk-free rate data and yield curve rate data. Or am I wrong ? Because when I think about risk-free rate data r_t I want to use it to calculate a price of the zero-coupon bond...
I think you’re over-complicating it.

The risk-free rate IS [taken from] the US Treasury yield curve.
 
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