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Federal Reserve Zero-Coupon Yield Curve Data

Article Quant Q&A · Author: Jojo
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Summary

The document addresses where to obtain zero-coupon bond yield curves and whether they can be derived from coupon-bond yields. Its answer points to Federal Reserve yield curve data that includes par, zero, and forward curves. The curves are estimated using a Svensson model fitted to coupon-bond information, illustrating that zero-coupon yields need not come from a market of directly traded zero-coupon bonds.

The response provides a practical data source for fixed-income analysis, but it does not explain the Svensson estimation procedure or give details on how to bootstrap a curve from coupon-bond prices. It notes that the published data is delayed by two days, a constraint to consider when timeliness matters. The exchange is brief, so it does not compare curve construction methods, discuss instruments or maturities covered, or establish that the cited series suits every valuation or research use. Its main takeaway is that modeled zero and forward curves are available alongside par yields.

Key ideas

  • Federal Reserve data provides par, zero-coupon, and forward yield curves.
  • The cited curves are estimated with a Svensson model using coupon-bond inputs.
  • Zero-coupon yields can therefore be modeled from coupon-bond market data.
  • The source is delayed by two days, which limits its use for time-sensitive work.

Tags

Fixed incomeDerivatives pricingStatistics
Full text
# API that provides Zero Coupon Bond Yield Curves?


# API that provides Zero Coupon Bond Yield Curves?












Would anyone know and API or Database where one could access Zero Coupon Bond Yield Curves? Also, is it wrong to use Coupon Paying Bonds Yield Curves and then zero-finding and then bootstrapping to find the price of a Zero Coupon Bond as I can currently only find the prices of Coupon Paying Bonds.

Thank You

## Answer by Helin (score 2, accepted)

https://quant.stackexchange.com/a/18252

The Fed publishes yield curve data (par, zero & fwd) built with the Svensson model and using coupon bonds: http://www.federalreserve.gov/econresdata/researchdata/feds200628_1.html.

The data is 2 day delayed, however.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.