Skip to main content

svensson_yield_curve

Svensson Nominal Yield Curve Data.

Source: https://www.federalreserve.gov/data/nominal-yield-curve.htm

The Svensson model, stipulates that the shape of the yield curve on any given date can be adequately captured by a set of six parameters.

The values of these parameters can be estimated by minimizing the discrepancy between the fitted Svensson yield curve and observed market yields.

This Svensson model is used to fit daily yield curves for the period since 1980.

Before 1980, the Nelson-Siegel model—a model with fewer parameters—was used to fit the yield curve, as there were not enough Treasury securities to fit the Svensson model.

This data provides daily estimated nominal yield curve parameters, and smoothed yields on hypothetical Treasury securities that can be easily compared across maturities and over time, from 1961 to the present.

  • Zero-coupon yields (SVENY): Continuously compounded, 1-30 year maturities
  • Par yields (SVENPY): Coupon-equivalent, 1-30 year maturities
  • Instantaneous forward rates (SVENF): Continuously compounded, 1-30 year horizons
  • One-year forward rates (SVEN1F): Coupon-equivalent, at select horizons
  • Model parameters (BETA0-BETA3, TAU1-TAU2): Nelson-Siegel-Svensson coefficients

Examples​

from openbb import obb
obb.fixedincome.government.svensson_yield_curve()
# Parameters are applied post-request to filter the data.
obb.fixedincome.government.svensson_yield_curve(series_type='zero_coupon', start_date='2020-01-01', end_date='2025-12-31')

Parameters​

Returns​

results: SvenssonYieldCurve

Serializable results.

provider: Optional[Literal['federal_reserve']]

Provider name.

warnings: Optional[list[Warning_]]

list of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

Data​

On this page