FAQs

Frequently asked questions about government bond yields and methodology.

What data sources do you use for U.S. Treasury yields?

We source U.S. Treasury yields from institutional-grade market data providers that aggregate U.S. Treasury Constant Maturity rates from secondary market trading.

Data Characteristics:

• Based on the most actively traded marketable Treasury securities

• Represents composite quotes from U.S. Government securities dealers

• Reflects actual secondary market prices

• Maturities: 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y

• Updated in real-time throughout trading hours

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What methodology do you use to construct the yield curve?

Our yield curve construction follows industry-standard practices:

1. Input Data

• Bond yields (representing actual market yields)

• Deposit rates for the short end (< 1 year)

2. Bootstrapping

• Industry-standard bootstrapping methodology

• Converts market yields into a coherent zero-coupon curve

• Ensures no-arbitrage conditions

3. Interpolation

• Method: Piecewise log-cubic interpolation on discount factors

4. Compounding Conventions

• Compounding: Semi-annual (Compounded)

• Day Count: Actual/Actual ISMA

• Calendar: U.S. Government Bond Calendar

• Settlement: T+1 for bonds

Output: Zero-coupon yields with semi-annual compounding