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jimf
 Post subject: Treasury Rate Constant Maturity
PostPosted: Thu Jul 10, 2008 9:59 pm 
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Joined: Thu Jun 19, 2008 6:56 pm
Posts: 22
Hi,

Does anyone know the exact method used to calculate the constant maturity treasury yields. They are not actuals so I assume they use a spline or interpolation. I'm in the dark on this. :oops:

Thanks,

JF :roll:
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gloria_fixedincomerisk
 Post subject: Re: Treasury Rate Constant Maturity
PostPosted: Mon Jul 21, 2008 3:26 pm 
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Joined: Tue Jun 17, 2008 8:42 pm
Posts: 6
Jimf,

I hope it helps: http://www.ustreas.gov/offices/domestic ... ethod.html

Gloria
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