TreasuryCurvePresentation

The Treasury Curve App allows you to check historical US Treasury yield curves. You can compare two yield curves at a time.

• Source Data – US St. Louis Federal Reserve
• Data Sets – Input data includes historical data for US Treasury 2y, 5y, 7y, 10y and 30y bonds.
• Computation method – the yield is computed using the 5 available data set to construct a yield curve by calling spline function, using a simplistic “natural” method for curve construction.
• Data History – to limit space and computation requirement, data set is limited to 2012-08-06 to 2017-08-04

A yield curve is a plot of maturity (x-axis) and yield (y-axis). The resulting plot allows you to determine what a US Treasury bond would yield for all computed maturities.

Generally trade data is only available for actively traded maturities like the 2y, 5y, 7y, 10y and 30y.

In order to construct a yield curve we use the trade data from actively traded securities to compute a theoretical yield for the maturities we don't observe.

Our yield curve is constructed from 1 to 30 year. Though we don't have data on what a 14 year US Treasury bond would yield, we can compute the theoretical yield using a spline function.

Compare yield curve from two historical dates

1. Select a date from the calendar for Yield Curve 1
2. Select the number of days you want to look back from Yield Curve 1 to construct the second Yield Curve two

The input datasets from the Federal Reserve are sitting in my Github account. Hence it may take a few seconds to render the plot depending on internet speed.