Treasury Constant Maturity Curve
SUMMARY:
Treasury Constant Maturity Curve data from the web site of the
Federal Reserve Bank, http://www.bog.frb.fed.us/releases/H15/data.htm,
running from 1982 to 1997. More information can be
found on that web site; documentation below came from the web site and
data files.
The Constant Maturity Curve data come from yield curves
constructed by the U.S. Treasury Department from the
yields of actively traded issues adjusted to constant maturities.
tcm.curve
is a multi-variate time series with the following columns:
VALUE:
- three.month
-
Three-month rate.
- six.month
-
Six-month rate.
- one.year
-
One-year rate.
- two.year
-
Two-year rate.
- three.year
-
Three-year rate.
- five.year
-
Five-year rate.
- seven.year
-
Seven-year rate.
- ten.year
-
Ten-year rate.
- twenty.year
-
The 20-year column is constructed from the 20-year
Treasury department numbers based on the 20-year bond through
December 1986 (at which time the 20-year bond was discontinued)
and from the new computation starting in October of 1993
based on outstanding bonds with approximately 20 years remaining
to maturity. There is no data between 1987 and September 1992.
- thirty.year
-
Thirty-year rate.
- long.term
-
The long-term column is an
unweighted average of rates on all outstanding bonds neither due nor callable
in less than 10 years, also calculated by the Treasury Department.