Daily Rate can be found here. These can change during any market day so I began building out a script in Java to pull this data out automatically and run some mathematical analysis on a daily basis. This project can be found on my Github. As of this date I am far from done but the framework is there at least.
When running Main.java it will pull the Year-To-Date treasury rates into a 2D ArrayList totalTable
totalTable = "[
[Date, 1 Mo, 2Mo, 3 Mo, 6 Mo, 1 Yr, 2 Yr, 3 Yr, 5 Yr, 7 Yr, 10 Yr, 20 Yr, 30 Yr]
[01/02/19, 2.40, 2.40, 2.42, 2.51, 2.60, 2.50, 2.47, 2.49, 2.56, 2.66, 2.83, 2.97]
[01/03/19, 2.42, 2.42, 2.41, 2.47, 2.50, 2.39, 2.35, 2.37, 2.44, 2.56, 2.75, 2.92]
[01/04/19, 2.40, 2.42, 2.42, 2.51, 2.57, 2.50, 2.47, 2.49, 2.56, 2.67, 2.83, 2.98]
[01/07/19, 2.42, 2.42, 2.45, 2.54, 2.58, 2.53, 2.51, 2.53, 2.60, 2.70, 2.86, 2.99]
[01/08/19, 2.40, 2.42, 2.46, 2.54, 2.60, 2.58, 2.57, 2.58, 2.63, 2.73, 2.88, 3.00]
[01/09/19, 2.40, 2.42, 2.45, 2.52, 2.59, 2.56, 2.54, 2.57, 2.64, 2.74, 2.90, 3.03]
[01/10/19, 2.42, 2.42, 2.43, 2.51, 2.59, 2.56, 2.54, 2.56, 2.63, 2.74, 2.92, 3.06]
[01/11/19, 2.41, 2.43, 2.43, 2.50, 2.58, 2.55, 2.51, 2.52, 2.60, 2.71, 2.90, 3.04]
[01/14/19, 2.42, 2.43, 2.45, 2.52, 2.57, 2.53, 2.51, 2.53, 2.60, 2.71, 2.91, 3.06]
[01/15/19, 2.41, 2.43, 2.45, 2.52, 2.57, 2.53, 2.51, 2.53, 2.61, 2.72, 2.92, 3.08]
[01/16/19, 2.41, 2.40, 2.43, 2.49, 2.57, 2.55, 2.53, 2.54, 2.62, 2.73, 2.92, 3.07]
[01/17/19, 2.41, 2.41, 2.42, 2.50, 2.57, 2.56, 2.55, 2.58, 2.66, 2.75, 2.93, 3.07]
]"Under Functions.java I have some dirty methods quickly created to calculate Rolling Averages getAverage(ArrayList<ArrayList<String>> totalTable, int days)
// Input
System.out.println(Functions.getAverage(totalTable, 2));
System.out.println(Functions.getAverage(totalTable, 3));
// Output
[2 Day Average, 2.405, 2.405, 2.415, 2.500, 2.585, 2.590, 2.575, 2.600, 2.680, 2.770, 2.940, 3.080]
[3 Day Average, 2.407, 2.403, 2.420, 2.497, 2.580, 2.577, 2.560, 2.580, 2.660, 2.757, 2.933, 3.077]public static ArrayList<String> getAverage(ArrayList<ArrayList<String>> totalTable, int days) {
int entryDates = totalTable.size();
int entryTypes = totalTable.get(0).size();
ArrayList<String> output = new ArrayList<String>();
DecimalFormat df = new DecimalFormat("#.000");
output.add(days+" Day Average");
Double tempSum;
// Column=1 skips the [Date] column
for (int column=1; column<entryTypes; column++) {
tempSum = 0.0;
System.out.println(totalTable.get(column)); // DEBUG
for (int row=0; row<days; row++) {
tempSum += Double.parseDouble(totalTable.get(entryDates-row-1).get(column));
}
output.add(String.valueOf(df.format(tempSum/days)));
}
return output;
}Same goes for Prices Changes during a certain date range. getChange(ArrayList<ArrayList<String>> totalTable, int days)
// Input
System.out.println(Functions.getChange(totalTable, 2));
System.out.println(Functions.getChange(totalTable, 3));
// Output
[2 Day Change, -.01, .00, -.02, .01, .03, .07, .07, .08, .08, .06, .03, .02]
[3 Day Change, -.01, -.03, -.04, -.02, .03, .09, .09, .09, .09, .07, .03, .01]public static ArrayList<String> getChange(ArrayList<ArrayList<String>> totalTable, int days) {
int entryDates = totalTable.size();
int entryTypes = totalTable.get(0).size();
ArrayList<String> output = new ArrayList<String>();
DecimalFormat df = new DecimalFormat("#.00");
output.add(days+" Day Change");
Double tempDelta;
ArrayList<String> currentDay = totalTable.get(entryDates-1);
ArrayList<String> earlierDay = totalTable.get(entryDates-1-days);
for (int column=1; column<entryTypes; column++) {
tempDelta =
Double.parseDouble(currentDay.get(column)) -
Double.parseDouble(earlierDay.get(column));
output.add(df.format(tempDelta));
}
System.out.println(currentDay); // DEBUG
System.out.println(earlierDay); // DEBUG
return output;
}Before I build out more complex functions I will need to start refractoring the repeative portions of my code. I'll thank myself later.