Kamakura Releases 50 Years of U.S. Treasury Daily Zero Coupon Bond Yield Curves
Honolulu-based Kamakura Corporation announced Tuesday that it has released 50 years of daily U.S. Treasury zero coupon bond yield curve data to clients and friends of the firm. The data is available on both a subscription basis via Kamakura Risk Information Services and in hard copy in a volume entitled “Inside the Kamakura Yield Curve,
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Editorial Team
- September 27, 2011
- 2 minutes
Honolulu-based Kamakura Corporation announced Tuesday that it has released 50 years of daily U.S. Treasury zero coupon bond yield curve data to clients and friends of the firm. The data is available on both a subscription basis via Kamakura Risk Information Services and in hard copy in a volume entitled “Inside the Kamakura Yield Curve, Volume II: A Pictorial History of 50 Years of U.S. Treasury Zero Coupon Bond Yields.” The forward rate data and zero coupon bond yield curve data are available from January 2, 1962 through August 22, 2011 on a daily basis. “Inside the Kamakura Yield Book, Volume II” was authored by Kamakura’s Daniel T. Dickler, Professor Robert Jarrow, and Dr. Donald R. van Deventer.
“Kamakura has been gratified by the enthusiastic response to our release of 50 years of U.S. Treasury forward rate data,” said Kamakura Chief Administrative Officer Martin Zorn. “This new volume is a continuation of Kamakura’s 21 year history of bringing best practice in risk management into line with the realities of market movements. The second volume of our studies of U.S. Treasury forward rate and zero coupon bond yield movements makes it very clear that ‘common practice’ in risk management, using 1-3 factor term structure models and the arbitrary Nelson-Siegel curve fitting approach, is too simple to capture the true shape and movements of the U.S. Treasury curve over the last 12,395 business days. For real risk management, a multi-factor yield curve modeling approach like that in Kamakura Risk Manager is essential.”
The forward rate curves and zero coupon bond yield curves were derived from U.S. Treasury yield data provided by the Board of Governors of the Federal Reserve. The yield curve smoothing technique used was the “maximum smoothness forward rate” approach developed by Kamakura founder Dr. Donald R. van Deventer in 1994 with a co-author. The risk system used to generate the month forward rate data was Kamakura Risk Manager version 7.3. “Inside the Kamakura Yield Book, Volume II: A Pictorial History of 50 Years of U.S. Treasury Zero Coupon Bond Yields” features one graph for each year from 1962 to the present showing U.S. Treasury monthly zero coupon bond yields on each business day, like this graph for 2008.
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