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SOFR doesn't show up in FinancialData[] (despite being a Bloomberg symbol). When I ask Wolfram|Alpha, it thinks I'm talking about "Overnight: The Movie". Am I holding it wrong, or is this really missing? Many loan arrangements are tied to it.
So far I've searched the output of FinancialData[], tried to find an Entity["Financial"] for it, tried to get Interpreter["FinancialIndex"] to recognize it, and argued with the Alpha integration about it. What else should I try?
Cheers -- perry
I don't think Interest Rate data is readily available via FinancialData which, as a rule of thumb, tends to be more Equity and Currency focused.
From the documentation:
"FinancialData can retrieve end-of-day data on US and other stocks and other financial instruments, as well as indices and currency exchange rates."
And the reason for the limited data:
"FinancialData provides gateways to external financial data sources. Its use is subject to any restrictions associated with those sources, and may require additional licensing."
A quick check using FinancialData[___ ~~ "SOFR" ~~ ___, "Lookup"] returns {} and variations along SOFR such as SR (looking for futures or an index) etc. don't seem to throw anything up.
That said you can get SOFR from publicaly available sources online such as the Federal Reserve Economic Data (FRED).
If you want to download it programatically, you can sign up for API key and then pull the data using Import.
If you have access to a Bloomberg terminal you could consider signing up for Wolfram Finance Platform that allows you pull data from Bloomberg
