Created
June 28, 2020 11:06
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Daily Risk Free Rate (based on 3-Month US Treasury Bills Rates)
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| import yfinance as yf | |
| import pandas as pd | |
| # de-annualize yearly interest rates | |
| def deannualize(annual_rate, periods=365): | |
| return (1 + annual_rate) ** (1/periods) - 1 | |
| def get_risk_free_rate(): | |
| # download 3-month us treasury bills rates | |
| annualized = yf.download("^IRX")["Adj Close"] | |
| # de-annualize | |
| daily = annualized.apply(deannualize) | |
| # create dataframe | |
| return pd.DataFrame({"annualized": annualized, "daily": daily}) | |
| if __name__ == "__main__": | |
| rates = get_risk_free_rate() | |
| print(rates.tail()) |
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divide Adj Close values by 100 before passing through function, no?