i am trying to progrma some term structure models. After googling around, I have not seen any free history data on any bonds .Does anyone know where can I get?

The Fed has lots of useful data, including bond data.

Thanks a lot, Aaron.It is a real pleasure to get help from you. Can I ask one more question?Someone was talking about the spread between corporate (and municipal, i believe ) bonds' yield and the treasural bonds yeildare shrinking drastically, it would be a good homework for myself if I can verify it by the real data. I know that claim can be backed up by the spread curve in www.ml.com, still I think it is interesting to work it out by myself. Is it? Or would you suggest me to do someother interesting observation (suitable for a curious student as me)on the fixed income market?btw, the data in FED only has the hitorical data on the T-bonds, I think I need the index of corporate bonds, municipal bonds to see the change of spread, right?

There is also free historical data on bond futures at the CBOT ( http://www.cbot.com/cbot/pub/page/0,3181,830,00.html ). Of course, Bloomberg is the source for bond data (for example, it's the service I use to publish US notes right after my team originates them, we use Reuters a bit more overseas), but it may not be free to you unless your uni has it. TRACE is the service for tracking corp and muni bond trades, but it is much more difficult to do academic analysis on most of these given that they trade more thinly. You might also consider asking a company like S&P or Moody's if they'll let you do a study at their site (never hurts to ask). lyuping, I might recommend you look at the arbitrage relationships between corps, munis, treasuries, and swaps instead of trying to verify it too much with historical data, which is very difficult to organize and clean (though some other than me are just good at it). If you find a difference in today's prices that your model says you could arb, that is worth more than history, and setting up the calculator is a useful exercise in bond math.

thanks a lot, exotiq. I am very interested in your suggestion!With my limited knowledge in the arbitrage theory, I am a little bit far from the arbitragy relationship between corps, munis, treasures and swaps. Seperatley, I know the theory how they are priced, their differences, I am curious in where can I find the right information to start on that subject. Can you point for me?Thanks in advance.

No the Fed has a variety of interest rates and other economic Data. Here is a series with corporate and municipal rates.The municipal yield curve is a complicated thing. For one thing, since premiums and discounts get asymetrical tax treatment, yield is not well-defined. Also the call structure of the bonds, and the overwhelmingly retail market, complicate things.