Corporate Bond Asset Pricing

Open Bond Asset Pricing

🚀 NEW: TRACE data processing pipeline. 

🔗Stage 0: now in public beta. 💻 Code: trace-data-pipeline GitHub repository.

• ⚡Process intraday TRACE transaction data, eliminate errors and build a robust daily pricing panel.

• ✅Choose among many filtering choices, from trading volume, bond type to parameters governing error corrections - build your database with filtering that you think is reasonable / defensible.

• Download detailed (>400-page) Enhanced TRACE transaction-level data reports here.

• Download the 144A TRACE transaction-level data report here.

• Detailed documentation on the transaction level price decimal corrector and error eliminator algorithms coming soon. All code publicly available on the GitHub.

• 🔗 Contact alexander.dickerson1@unsw.edu.au for comments/suggestions.