CMT Definition - grfiv/ustreasuries GitHub Wiki

CMT Yield Definition

Constant-Maturity Treasury (CMT) yields are derived from a 'quasi-cubic hermite spline function' proprietary to the US Treasury Department.

At the end of business each day the bid yields for on-the-run securities (which trade close to par) are input as the knot points and splines are used to derive a continuous curve. The yields for the exact maturity points are read from this curve, which are the yields available from the USTreasuryRates function.

Yields on all Treasury securities are based on actual day counts on a 365- or 366-day year basis, not a 30/360 basis, and the yield curve is based on securities that pay semiannual interest; the yields at any point on the yield curve are consistent with a semiannual coupon security with that amount of time remaining to maturity.

All yield curve rates are considered "bond-equivalent" yields.

The yield curve is considered a Par Yield Curve.

References

Daily Treasury Yield Curve Rates
https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield

Interest Rates - Frequently Asked Questions
https://www.treasury.gov/resource-center/faqs/Interest-Rates/Pages/faq.aspx

Treasury Yield Curve Methodology
https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/yieldmethod.aspx

Selected historical average rates are available from the FRB at
http://www.federalreserve.gov/datadownload/Choose.aspx?rel=H15