Government Bonds and Yield Curves¶

Benchmark government bonds of about 50 countries, by tenor (1 month to 50 years). Each tenor has two series:

the yield, e.g. TVC:US10Y (CLOSE in percent)
the price, e.g. TVC:US10

BondScreener covers individual corporate and government bonds instead.

Yield Curve¶

from tvscreener import get_yield_curve

df = get_yield_curve("US")

Column	Description
`tenor`	`1M`, `3M`, `1Y`, `10Y`...
`days_to_maturity`, `maturity_date`	Maturity of the benchmark bond
`yield`	Yield in percent
`change`	Yield change since the previous close (percentage points)

Yield Matrix¶

get_yield_matrix() puts several countries side by side: one row per country, one column per tenor, yields in percent.

from tvscreener import get_yield_matrix

df = get_yield_matrix(["US", "DE", "GB", "JP"])
df = get_yield_matrix(tenors=["3M", "2Y", "10Y", "30Y"])   # every country, selected tenors

slope = df["10Y"] - df["2Y"]                                # 2s10s slope by country

Missing tenors are NaN.

Screener¶

from tvscreener import GovernmentBondScreener, GovernmentBondField

gs = GovernmentBondScreener().yields_only()
gs.where(GovernmentBondField.COUNTRY_CODE.isin(['DE', 'FR', 'IT']))
gs.where(GovernmentBondField.NAME.match('10Y$'))
df = gs.get()     # 10-year yields of Germany, France and Italy

yields_only() / prices_only() keep one of the two series.
Results are sorted by days to maturity. MATURITY_DATE is converted to a datetime.