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7 2YieldCurve

The document provides sample yield curve data for U.S. Treasury securities from 2005 to 2006. It includes interest rates for bills and bonds with maturities from 3 months to 10 years. The document describes how to construct a yield curve chart by plotting the yield to maturity on the y-axis and time to maturity on the x-axis using the sample rate data. It notes that the easiest way to produce the chart in Excel is to copy the rate data below the maturity periods and then insert a scatter plot.

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34 views

7 2YieldCurve

The document provides sample yield curve data for U.S. Treasury securities from 2005 to 2006. It includes interest rates for bills and bonds with maturities from 3 months to 10 years. The document describes how to construct a yield curve chart by plotting the yield to maturity on the y-axis and time to maturity on the x-axis using the sample rate data. It notes that the easiest way to produce the chart in Excel is to copy the rate data below the maturity periods and then insert a scatter plot.

Uploaded by

rranjan27
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
You are on page 1/ 6

GRAPHING YIELD CURVES

[referred to in the text in Problem 7.7]

The following are fictious data on yields to maturity. We will construct the yield curve for May 2005.

Month

2005:01
2005:02
2005:03
2005:04
2005:05
2005:06
2005:07
2005:08
2005:09
2005:10
2005:11
2005:12
2006:01
2006:02
2006:03
2006:04

1-year
2-year
3-year
3-month
Constant Constant Constant
Constant
Maturity Maturity Maturity
Maturity
Treasury Treasury Treasury
Treasury
Bond
Bond
Bondl
Bill Rate
Rate
Rate
Rate
(percent)
(percent) (percent) (percent)
1.2
1.2
1.3
1.6
1.5
1.4
1.6
1.9
2.1
2.2
2.2
2.5
2.4
2.3
2.3
2.6

1.4
1.6
1.6
1.8
1.9
1.9
2.0
2.4
2.4
2.4
2.5
2.7
2.6
2.5
2.6
2.9

1.7
1.8
1.9
2.1
2.1
2.2
2.3
2.5
2.5
2.5
2.6
2.8
2.7
2.6
2.8
3.1

2.0
2.1
2.3
2.4
2.4
2.4
2.5
2.7
2.7
2.6
2.7
2.9
2.8
2.7
2.9
3.2

5-year
Constant
Maturity
Treasury
Bond
Rate
(percent)

7-year
Constant
Maturity
Treasury
Bond
Rate
(percent)

10-year
Constant
Maturity
Treasury
Bond
Rate
(percent)

2.3
2.4
2.5
2.6
2.6
2.6
2.7
2.9
2.9
2.8
2.8
2.9
2.8
2.7
2.9
3.2

2.5
2.5
2.6
2.7
2.7
2.7
2.8
2.9
2.9
2.8
2.9
2.9
2.9
2.8
2.9
3.2

2.6
2.7
2.7
2.8
2.8
2.8
2.9
3.0
3.0
2.9
2.9
3.0
2.9
2.8
3.0
3.2

The x-axis of the chart should reflect the time to maturity as indicated in the headings to the columns:
time to maturity
yield to maturity

0.25
1.5

1
1.9

2
2.1

3
2.4

5
2.6

7
2.7

A Yield Curve
3.0
2.8
2.6

10
2.8

Yield to Maturity

A Yield Curve
3.0
2.8
2.6
2.4
2.2
2.0
1.8
1.6
1.4
1.2
1.0
0

4
5
6
Time to Maturity

The same chart can be produced as below without cutting and pasting by highlighting the data directly as
To see the difference for each chart click on the chart and then click on the menu CHART, SOURCE DA
at the data ranges for each axis on the SERIES tab.
Note: the Excel default is to treat the uppermost data series as the X-axis for a scatterplot. Be careful.
chart has its axes reversed, click on the chart and then on the menu CHART, SOURCE DATA, SE
then change the row numbers (and possibly column numbers) to make sure that correct data are a
each axis.

Yield to Maturity

A Yield Curve
3.0
2.8
2.6
2.4
2.2
2.0
1.8
1.6
1.4
1.2
1.0
0

4
5
6
Time to Maturity

1.4
1.2
1.0
0

4
5
6
Time to Maturity

Note: the time units are years, so that 3-months is 0.25 years.
The easiest way to produce a properly formatted chart is to cut and paste the correct values for each
time to maturity below the times to maturity data. Here the data are copied from Row 20, Columns B-H
Then highlight the data (B35:H36) and INSERT, CHART, SCATTER, option (in this case) SMOOTH

10

lighting the data directly as in Row 20.


enu CHART, SOURCE DATA and look

a scatterplot. Be careful. If your


ART, SOURCE DATA, SERIES tab;
sure that correct data are assigned to

10

10

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