Add a function for downloading 10 year treasury data to use as a benchmark

[benmccann]

See #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.

[twiecki]

Looks good to me. Thanks!

[ehebert]

Thinking of the best way to wire up this data so that it is used by the risk module.

One option is to splice it in to loader.dump_treasury_curves so that function calls this new method, as well.

@twiecki @benmccann any other ideas there?

[benmccann]

Yeah, I wasn't quite sure either. I wonder if we need the existing yield curve data at all? I don't understand how it's chosen to use 1-month vs. 3-month vs. 10 yr. vs. 30 yr. treasuries at the moment. I wonder if always just using 10 yr. is better?

[twiecki]

@ehebert Any reason we can't pull this in? Then we could change it zipline to use 10 yr instead.

[ehebert]

No reason not to pull in the precursor, I'll do git am now, since there's a merge conflict reported.

As for pulling into to risk, still hot on the trail of getting the risk module aligned with the risk answer key, and holding off on changing any behavior in the risk module, including treasury choice until all the tests in test_risk.py are reading from the key. (Since we'll have to go into the spreadsheet and change the treasury column etc.)

[ehebert]

Merged via 2751e98