Dataframe: hw2:crsp_treasury_consolidated - CRSP Treasury Consolidated#
Consolidated CRSP US Treasury database combining daily pricing data (prices, yields, durations) with issue-level characteristics (coupon, maturity, issue date). Sourced from WRDS.
DataFrame Glimpse#
Rows: 2530592
Columns: 20
$ kytreasno <f64> 200656.0
$ kycrspid <str> '19700515.205620'
$ tcusip <str> '912827AG'
$ caldt <datetime[ns]> 1970-01-02 00:00:00
$ tdatdt <datetime[ns]> 1968-11-15 00:00:00
$ tmatdt <datetime[ns]> 1970-05-15 00:00:00
$ tfcaldt <i64> 0
$ tdbid <f64> 98.96875
$ tdask <f64> 99.03125
$ tdaccint <f64> 0.74585635359116
$ tdyld <f64> 0.00022767989749937
$ price <f64> 99.74585635359117
$ tcouprt <f64> 5.625
$ itype <f64> 2.0
$ original_maturity <f64> 1.0
$ years_to_maturity <f64> 0.0
$ tdduratn <f64> 133.0
$ tdretnua <f64> 0.0006252522225898501
$ days_to_maturity <i64> 133
$ callable <bool> False
Dataframe Manifest#
Dataframe Name |
CRSP Treasury Consolidated |
|---|---|
Dataframe ID |
|
Sources |
CRSP |
Providers |
WRDS |
Provider Links |
|
Tags |
Treasury, Fixed Income, Yield Curve |
Access Types |
|
How is data pulled? |
WRDS via Python |
Data available up to (min) |
N/A (large file) |
Data available up to (max) |
N/A (large file) |
Dataframe Path |
/Users/aarbitman/Desktop/Data Pipelines for Quantitative Research/hw2-aarbitman1228/_data/TFZ_consolidated.parquet |
Linked Charts:
None
Pipeline Manifest#
Pipeline Name |
HW 2: The Yield Curve and the Policy Path |
|---|---|
Pipeline ID |
|
Maintainer |
Jeremiah Bejarano |
Contributors |
Jeremiah Bejarano |
Repository |
|
Pipeline Web Page |
|
Date of Last Code Update |
2026-10-26 12:51:03 |
OS Compatibility |
Windows, Linux, macOS |
Linked Dataframes |
hw2:crsp_treasury_consolidated |
Build Commands:
doit