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How Can I Create A Yield Curve in Excel

This document discusses how to create a yield curve in Microsoft Excel. It provides steps to plot the yield curve for five US Treasury bonds with maturities of 2, 5, 10, 20, and 30 years and yields of 2.5%, 2.9%, 3.3%, 3.6%, and 3.9% respectively. The resulting yield curve is considered normal as it increases and becomes concave down with longer maturities.

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251 views

How Can I Create A Yield Curve in Excel

This document discusses how to create a yield curve in Microsoft Excel. It provides steps to plot the yield curve for five US Treasury bonds with maturities of 2, 5, 10, 20, and 30 years and yields of 2.5%, 2.9%, 3.3%, 3.6%, and 3.9% respectively. The resulting yield curve is considered normal as it increases and becomes concave down with longer maturities.

Uploaded by

ACC200 M
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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TRADE

BONDS FIXED INCOME

How Can I Create a Yield Curve in Excel?


By STEVEN NICKOLAS Updated September 30, 2022

Reviewed by KHADIJA KHARTIT


Fact checked by YARILET PEREZ

The yield curve depicts the term structures of interest rates for bonds. With
term structures that could be normal, inverted, or flat, the shape of a yield
curve indicates where future interest rates are headed.

You can create a yield curve in Microsoft Excel if you are given the time to
maturities of bonds and their respective yields to maturity. The x-axis of the
graph of a yield curve is reserved for the time to maturity, while the yield to
maturities are located on the y-axis.

Assume you want to plot the yield curve for the two-, five-, 10-, 20- and 30-year
U.S. Treasury bonds (T-bonds). The respective yield to maturities of the U.S.T-
bonds are 2.5%, 2.9%, 3.3%, 3.60%, and 3.9%.

5 Steps to Calculating Yield Curve


1. Using Microsoft Excel, enter "U.S. Treasury Bonds' Times to Maturity" in cell
A1 and "U.S. Treasury Bond's Yields to Maturity" in cell B1.
2. Next, enter "2" into cell A2, "5" into cell A3, "10" into cell A4, "20" into cell
A5, and "30" into cell A6.
3. Then, enter "2.5%" into cell B2, "2.9%" into cell B3, "3.3%" into cell B4,
"3.6%" into cell B5, and "3.9%" into cell B6.
4. Select cells A2 through A6 and B2 through B6 together and click on Insert.
Under the Charts tab, select Scatter and click on Scatter with Smooth Lines
and Markers.
5. Next, click on the chart, select Chart Elements, and click on Axis Titles. For
the horizontal axis, enter "Time to Maturity (In Years)" and "Yields" into the
vertical axis title. Enter "U.S. Treasury Bonds Yield Curve" into the Chart
Title.
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