Yield curves

FAQ

• What curves can be viewed on Cbonds?

  

  The Cbonds page and database feature yield curves for various currencies, constructed based on bonds or interest rate swaps. For example, the UST Zero-coupon yield is a zero-coupon curve built using yields on U.S. Treasuries (United States government fixed income), while the USD SOFR OIS Zero Curve is a zero-coupon curve constructed from quotes on interest rate swaps against the SOFR.

  Most of the curves presented on the page are spot curves, where the yield reflects the rate for the period starting from the curve's date. There are also forward curves (for example, EUR Instantaneous Forward), where the yield reflects the forward rate for an infinitely small period that begins on the date corresponding to the maturity (tenor).

  Curves can also be zero-coupon (e.g., UST Zero-coupon yield) or coupon-bearing (e.g., UST). The difference lies in the fact that zero-coupon curves do not imply intermediate payments, and their duration matches their tenor (term). For coupon-bearing curves, the duration is typically used as the term since the curve is constructed based on coupon instruments (e.g., bonds).

• Where can I view the curve values?

  
  All current values for the curves can be viewed directly on the current page

  Additionally:

  • In the bond search section of the Market Map, you can add a curve to the map
  • If you are interested in receiving curve data through API / file downloads, please contact [email protected]

• How to use yield curve data?

  
  Yield curves are typically used for:

  • constructing various types of spreads (G-spread, I-spread, Z-spread);
  • estimating forward rates, for example, a three-month rate six months from now;
  • valuations and revaluations of interest rate derivatives;
  • discounting future cash flows;
  • in a macroeconomic context, assessing expectations regarding interest rates.