This is not meant to be an academic work on the predictive abilities of forward Treasury yields. See the expectations hypothesis. Rather, it is a spreadsheet that, given a date in the past, calculates forward rates and then compares the forward yield curve to the actual yield curve on that future date. Thanks to the Treasury Department, we can get the daily Treasury yield curves from 1990 to the present. In order to have actual results to compare with forward curves, I started the yield data on 10/1/1993 and stopped at 5/1/2019. This way, I had yields from 6 months out to the 20 year, uninterrupted by various auction term changes. Also, because an exact future date might not be available due to weekends and holidays, the date returned will be the previous date that has data.
Users can add additional yields at:
or click this button on the “Yields” sheet.
Spot rates were calculated from interpolated Treasury coupon rates (to simplify the calculations, the Treasury rates were assumed to be par bonds). Then a forward yield table was developed, with columns of forward rates for various years in the future. Each time a new historic (past) date is entered on the chart sheet, new spot and forward rates are calculated.