Get the daily real (TIPS-implied) U.S. Treasury yield curve from FRED – the Market Yield on Treasury Inflation-Protected Securities at Constant Maturity, for the 5, 7, 10, 20 and 30-Year maturities.

This is genuine market-observed data, as distinct from fixedincome.get_breakeven_inflation_rate, which is a pure formula applied to a hand-specified sample curve rather than real TIPS market data. Use this together with get_breakeven_inflation_expectations to get the market-implied (Q-measure) inflation expectation at each maturity.

Yields are daily, returned as a decimal fraction per annum (0.0174 for 1.74%) and not seasonally adjusted. FRED publishes them in percentage points; they are rescaled here so this curve is on the same decimal scale as fixedincome.get_treasury_rates and can be differenced against it directly. The 20-Year series starts in July 2004 and the 30-Year in February 2010, so earlier dates are NaN for those two maturities.

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

See definition: https://fred.stlouisfed.org/series/DFII10

Also known as: TIPS yield curve, real Treasury yield curve.

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Calculate the Real Yield Curve (TIPS) in Python

The Real Yield Curve (TIPS) is available in the Economics module of the open-source Finance Toolkit. Install it with:

pip install financetoolkit -U

Then call get_real_yield_curve 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_real_yield_curve()

Which returns:

Date 5 Year 7 Year 10 Year 20 Year 30 Year
2024-01-02 0.0176 0.0175 0.0174 0.0184 0.0191
2024-01-03 0.0173 0.0171 0.0171 0.0181 0.0189
2024-01-04 0.0179 0.0178 0.0177 0.0188 0.0196
2024-01-05 0.0183 0.0183 0.0183 0.0194 0.0202
2024-01-08 0.0178 0.0179 0.0179 0.019 0.0198

Parameters

get_real_yield_curve 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 Breakeven Inflation Expectations 30-Year Mortgage Rate

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

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