Zero-coupon yield curves technical documentation

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Bond valuation and bond yields

Please enter the message. Please verify that you are not a robot. Would you also like to submit a review for this item? You already recently rated this item. Your rating has been recorded. Write a review Rate this item: 1 2 3 4 5. Preview this item Preview this item. Zero-coupon yield curves : technical documentation Author: Bank for International Settlements. Monetary and Economic Department.

Series: BIS papers , no. Subjects Interest rates -- Econometric models. Bonds -- Econometric models. More like this Similar Items.

Find a copy online Links to this item bis. Allow this favorite library to be seen by others Keep this favorite library private. Find a copy in the library Finding libraries that hold this item This volume is a revised version with updated papers from the reporting central banks. Description: 1 online resource xviii, 39 p.

Series Title: BIS papers , no.

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Responsibility: Bank for International Settlements. Reviews User-contributed reviews Add a review and share your thoughts with other readers. An investor calculates the price of a bond by discounting the expected future cash flows. The ECB estimates zero-coupon yield curves for the euro area and derives forward and par yield curves.

A zero coupon bond is a bond that pays no coupon and is sold at a discount from its face value.

The zero coupon curve represents the yield to maturity of hypothetical zero coupon bonds, since they are not directly observable in the market for a wide range of maturities. The yields must therefore be estimated from existing zero coupon bonds and fixed coupon bond prices or yields. The forward curve shows the short-term instantaneous interest rate for future periods implied in the yield curve.


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The par yield reflects hypothetical yields, namely the interest rates the bonds would have yielded had they been priced at par i. Daily yield curves are now available, with data from 6 September onwards, and are calculated and released on a daily basis according to the TARGET calendar. An outlier removal mechanism is applied to bonds that have fulfilled the above selection criteria.

Zero-coupon yield curves : technical documentation - EconBiz

Bonds are removed if their yields deviate by more than twice the standard deviation from the average yield in the same maturity bracket. Afterwards, the same procedure is repeated. The spot, forward and par yield curves, and their corresponding time series, are calculated using two different datasets reflecting different credit default risks.


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  • Please refer to the yield curve technical notes file for further technical details. The content of this website section, including yields, prices and all other data or information, is made available by the ECB for public information purposes only.


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    No data or other information can be provided regarding any day which is not a business day for the relevant trading venue from which the euro area yield curve data are sourced. The ECB shall not be liable for any error or inaccuracy in the content of this section, for any delay in updating this section, for any action taken in reliance thereon including, without limitation, any reference made in contractual agreements, investment decisions or the results of any investments made by users of this website section. The ECB expressly disclaims all warranties, expressed or implied, as to the accuracy of any of the content provided or as to the merchantability or fitness of the content provided.

    The ECB does not endorse or take responsibility for the content of any other website that this website section may direct users to or for any replication of the content of this website section on other websites or in any other form of redistribution. This disclaimer is without prejudice to the general disclaimer and copyright of the ECB. We are always working to improve this website for our users. To do this, we use the anonymous data provided by cookies. Learn more about how we use cookies. See what has changed in our privacy policy. Euro area yield curves The euro area yield curve shows separately AAA-rated euro area central government bonds and all euro area central government bonds including AAA-rated.

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