Get the daily market-implied (Q-measure) breakeven inflation expectations from FRED – nominal Treasury yield minus real TIPS yield – at the 5, 7, 10, 20 and 30-Year maturities, plus the 5-Year, 5-Year Forward Inflation Expectation Rate (the market’s implied average inflation rate for the five years starting five years from now).

FRED only publishes ready-made daily breakeven series for the 5 and 10-Year maturities; its 7, 20 and 30-Year breakeven series only exist at monthly frequency, so those three points are instead computed as nominal minus real from FRED’s own daily Treasury and TIPS series, keeping every maturity on a daily frequency. See get_real_yield_curve for the underlying real yields on their own.

Rates are daily, returned as a decimal fraction per annum (0.0221 for 2.21%) and not seasonally adjusted. FRED publishes them in percentage points; they are rescaled here to match the decimal convention used by every other rate surface in the toolkit. The 20-Year column starts in July 2004 and the 30-Year in February 2010, limited by the TIPS leg of the calculation.

Requires a free FRED API key, see the fred_api_key parameter of the Economics class.

See definition: https://fred.stlouisfed.org/series/T10YIE

Also known as: breakeven inflation rate, market-implied inflation expectations.

No programming experience? With the Finance Toolkit MCP server, AI assistants such as Claude and ChatGPT can calculate the Breakeven Inflation Expectations for you. Just ask in plain English.

Calculate the Breakeven Inflation Expectations in Python

The Breakeven Inflation Expectations is available in the Economics module of the open-source Finance Toolkit. Install it with:

pip install financetoolkit -U

Then call get_breakeven_inflation_expectations as shown below.

from financetoolkit import Economics

economics = Economics(start_date='2024-01-01', end_date='2024-01-15', fred_api_key='FRED_API_KEY')

economics.get_breakeven_inflation_expectations()

Which returns:

Date 5 Year 7 Year 10 Year 20 Year 30 Year 5 Year, 5 Year Forward
2024-01-02 0.0217 0.022 0.0221 0.0241 0.0217 0.0225
2024-01-03 0.0217 0.0221 0.022 0.024 0.0216 0.0223
2024-01-04 0.0218 0.0221 0.0222 0.0242 0.0217 0.0226
2024-01-05 0.0219 0.0221 0.0222 0.0243 0.0219 0.0225
2024-01-08 0.0219 0.022 0.0222 0.0243 0.0219 0.0225

Parameters

get_breakeven_inflation_expectations accepts the following parameters:

  • rolling (int, optional): The rolling window size to use for smoothing the data (simple moving average). Defaults to None.
  • trailing (int, optional): The trailing window size to use for summing the data over trailing periods. Defaults to None.
  • growth (bool, optional): Whether to return the growth data or the actual data.
  • lag (int, optional): The number of periods to lag the data by.
  • standardize (bool, optional): Whether to standardize (Z-Score) the result. When combined with growth=True, standardizes the growth values instead of the raw values. Defaults to False.
  • rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.
Money Supply Central Bank Policy Rate Short Term Interest Rate Long Term Interest Rate Real Interest Rate Yield Curve Slope Real Yield Curve (TIPS) 30-Year Mortgage Rate

The Economics module page introduces the module, and the sidebar lists all of its functions.

Share