Treasury Yield Database

Please use the updated data in version 2.

This reference data set is based on the method in our paper "Stripping the Discount Curve - Robust Machine Learning Approach". We introduce a robust, flexible and easy-to-implement method for estimating the yield curve from Treasury securities. This method is non-parametric and optimally learns basis functions with an economically motivated smoothness reward. We show in an extensive empirical study on daily U.S. Treasury securities, that our method strongly dominates all parametric and non-parametric benchmarks. Our method achieves substantially smaller out-of-sample yield and pricing errors, while being robust to outliers and data selection choices. We attribute the superior performance to the optimal trade-off between flexibility and smoothness, which positions our method as the new standard for yield curve estimation.

We provide the "GitHub code" with examples and a documentation of how to use our method.

Our data provide estimates of annualized continuously compounded zero-coupon yields. Datasets come in four combinations of two frequencies (daily and monthly) and two granularity levels (daily and monthly). Datasets at monthly frequency report the yields for the last day of every month. The sampling period starts on June 14, 1961. The data set is updated regularly.

In summary, we have the following four data sets:

Yields at daily frequency for daily maturities

Yields at monthly frequency for daily maturities

Yields at daily frequency for monthly maturities

Yields at monthly frequency for monthly maturities

The first column in each dataset is observation date in format MM/DD/YY. The second column is maximum maturity of securities on the observation date, which sets the boundary for the extrapolation region. Titles of the remaining columns are time-to-maturity in unit of the corresponding granularity of the dataset. 10-Year, 20-year, and 30-year yield estimates are provided starting from June 14, 1961, January 5, 1973, and November 25, 1985 respectively.