tcm.curve
Treasury Constant Maturity Curve

Description

Treasury Constant Maturity Curve data running from 1982 to 1997. The Constant Maturity Curve data come from yield curves constructed by the U.S. Treasury Department from the yields of actively traded issues adjusted to constant maturities.
Format
tcm.curve is a multivariate timeSeries object with the following columns:

three.month
Three-month rate.
six.month
Six-month rate.
one.year
One-year rate.
two.year
Two-year rate.
three.year
Three-year rate.
five.year
Five-year rate.
seven.year
Seven-year rate.
ten.year
Ten-year rate.
twenty.year
Constructed from the 20-year Treasury department numbers, based on the 20-year bond through December 1986 (at which time the 20-year bond was discontinued), and from the new computation starting in October of 1993 based on outstanding bonds with approximately 20 years remaining to maturity. There is no data between 1987 and September 1992.
thirty.year
Thirty-year rate.
long.term
An unweighted average of rates on all outstanding bonds neither due nor callable in less than 10 years, also calculated by the Treasury Department.
Source
From the web site of the Federal Reserve Bank, http://www.federalreserve.gov/releases/h15/data.htm.
Package splusTimeSeries version 6.0.0-68
Package Index