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I need the daily returns of the 13 weeks treasury bill (the equivalent of ^IRX on Yahoo finance), but this snippet gives me only the last day:
stock_prices, err = ek.get_data( 'US3MT=RR', ['CF_CLOSE.Date', 'CF_CLOSE'],
{'SDate': '2020-12-12', 'EDate': '2019-12-12'})
The official name for what you're after (based on the Yahoo! Finance link you provided) is "CBOE Short-Term Interest Rate Index", which represents the discount yield on the most recently auctioned 13 week US T-bill, and which is used as an underlying for CBOE interest rate options. The RIC for this index is ".IRX".
Hi @lorenzo.cerreta - have you tried the TR.MIDPRICE(SDate=0,EDate=-100,Frq=D) field - this will give closing mid yields if that is what you are after?
No, I need the daily closing prices for the US treasury bill. I can find them at https://finance.yahoo.com/quote/%5EIRX/history?p=%5EIRX, but not on refinitiv. Is
US3MT=RR
the wrong variable?
