quantopian/zipline — pull request #133 by benmccann (2013-04-16 00:57:10+00:00)
Title: Add a function for downloading 10 year treasury data to use as a benchmark

See https://github.com/quantopian/zipline/issues/132

The 10 year treasury should be used as the benchmark. E.g. Investopedia states The 30-year Treasury used to be the bellwether U.S. bond but now most consider the 10-year Treasury to be the benchmark..

Besides the 10-year rate being the more common benchmark, it's also far easier to get better data for. Beginning February 18, 2002, Treasury ceased publication of the 30-year constant maturity series. On February 9, 2006, Treasury reintroduced the 30-year constant maturity. These 4 years of missing data makes it difficult to use as a benchmark. Right now zipline's logging is complaining vociferously about this missing data.