quantlab.dataset.config.FredRateConfig#

class quantlab.dataset.config.FredRateConfig(*, zarr_file_path, start_date=None, end_date=None, symbols=None, kwargs=None, resample_freq=None, resample_how=None, name=None, raw_data_dir_path, market='us_equity', frequency='1d', vendor='fred', series='DTB3', days_per_year=252)[source]#

Bases: DatasetConfig

Config of a single-symbol panel of one FRED interest-rate series.

raw_data_dir_path is the FRED raw tier that FredAcquisition writes; the panel’s one symbol is the series id. The series must be quoted in annualized percent, as the Treasury bill rates are.

Examples

>>> cfg = FredRateConfig(
...     zarr_file_path="/data/zarrs/fred_dtb3_1d.zarr",
...     raw_data_dir_path="/data/downloads/us_equity/1d/macro/fred",
... )
>>> cfg.series, cfg.days_per_year, cfg.vendor
('DTB3', 252, 'fred')

days_per_year = 252#: Days per year the annual rate is divided by to give the per-bar risk_free return: rate / 100 / days_per_year. The default, 252 trading days, is our choice; it makes the per-bar rate a rate per trading day, the bar of a daily price panel.

frequency = '1d'#: FRED’s Treasury bill rates are daily.

market = 'us_equity'#: The rate’s market is the one whose returns it is subtracted from.

series = 'DTB3'#: FRED series id: the default, DTB3, is the 3-month Treasury bill secondary market rate, discount basis, annualized percent.

vendor = 'fred'#: Always FRED.