TreasuryCurvePresentation

The Treasury Curve App allows you to check two historical US Treasury yield curves.

• 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 from the slider to determine how many days to back when constructing Yield Curve 2.

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.