Treasury Forward Yield Curve Table – Revised

I have posted spreadsheets on forward yield curves in the past, but this one is less cumbersome in that the spot rate calculations are simplified, compared to the previous spreadsheets. In addition, I added a forward math sheet to explain the calculations. Like my other spreadsheets that require spot rates, I start with a source […]

Yield Curve Smoothing With The Nelson-Siegel-Svensson Model

Note: I found an error in the spreadsheet and repaired it, so if you downloaded the spreadsheet before 3/21/19, download it again.   This post starts by entering the U.S Treasury Yield curve by copy/pasting the rates from the Treasury web site. The yields are then interpolated in order to calculate spot rates using the […]