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Hi startz,

do you not where can I find rates on Treasury Bill futures? Because I also need the forward rates...

Thx!

Do you mean the rate published here https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield ? So I can interpret them as zero coupon yields? But on the FED's webpage is says " Does the yield curve assume semiannual interest payments or is it a ze...

Hi startz,

I believe these observable 3 month and 6 month rates you mentioned are the Constant Maturity Treasury (CMT) yields? These yields are bond equivalent (coupon bearing) according to the FED's description. Do you know how to extract zero coupon yields from these CMT yields? Thx

Hi startz, thx for your reply. The dataset I have is the zero-coupon yields (with maturities ranging from 1 year to 12 years) calculated by Gürkaynak, Sack and Wright (2006) based on "a large set of outstanding Treasury notes and bonds". I want to use them to back out the 1-, 3-, 6-, 12-mo...

Hi all,

the data on Treasury yields are only available in one to 30 years of maturities. How can I interpolate them into fixed maturities
of 3, 6, 9, 12, 15, 18, 21, 24, 30, 36, 48, 60, 72, 84, 96, 108, and 120 months?

Hope someone can help me. Thanks a lot!!