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How to get current date's Libor


I'm trying to get the libor rate for each trading date in the algorithm. How should I implement that? Should I create a new pipeline based on the dataset from quantdl? But pipelines only treat stocks. Or should I convert the dataset to a dataframe and do something like this:

from import fred_usdontd156n as libor  
from odo import odo  
import pandas as pd

libor_df = odo(libor, pd.DataFrame)  

The problem with this approach is that when doing the convert to data.frame part in backtesting, there was a runtime error. I suppose it's because the data should be produced via pipeline.

2 responses

Hi Bill,

The odo library is typically used to inspect interactive datasets in our Research environment. To include this dataset in your algorithms, you need to add it to a pipeline using a Custom Factor.

Because the values in this dataset are not tied to a specific security, the pipeline maps them to every security in the universe. You can add a screen to your pipeline for a single arbitrary security using StaticAssets to help you extract the value from the pipeline output. The attached notebook has an example of how to do this.

Unfortunately, it seems this dataset has not been updated in some time. In the corresponding Quandl data page you can see the last update to the dataset happened on November 7th, 2016.

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Hi Ernesto:

Yeah I found that out too. Thanks for the code though!