Chart: Spline Method Pairwise Correlation Heatmaps

Chartbook page with spot and forward pairwise method correlation heatmaps.

Chart

Sources: Federal Reserve Website

Full Screen Chart

replication_correlation_heatmaps

In the second metric, we examine the similarity of the spline-based replication methods relative to each other. We compute pairwise method-vs-method correlations after interpolating each curve onto the same maturity grid. The results are summarized using two correlation heatmaps, one for the spot rate curves and one for the forward rate curves. These visualizations highlight the degree to which the spline approaches produce similar yield curve estimates despite their methodological differences.

Across the sample, the spline-based methods produce highly correlated estimates for both spot and instantaneous forward curves. Spot curves are typically very similar across methods, while forward curves remain strongly correlated but show somewhat greater sensitivity to small fitting differences.

Chart Specs

Chart Name	Spline Method Pairwise Correlation Heatmaps
Chart ID	replication_correlation_heatmaps
Topic Tags
Data Series Start Date
Data Frequency
Observation Period
Lag in Data Release
Data Release Timing
Seasonal Adjustment
Units
HTML Chart	HTML

Dataframe Manifest

Dataframe Name	Fed Yield Curve All
Dataframe ID	fed_yield_curve_all
Data Sources	Federal Reserve Website
Data Providers	Public
Links to Providers
Topic Tags
Type of Data Access
How is data pulled?	Pulled directly from Fed Website and stored
Data available up to (min)
Data available up to (max)
Dataframe Path	/Users/phoebefingold/FINM_Repo/FINM_32900/p14_gurkaynak_sack_wright_2007/_data/fed_yield_curve_all.parquet

Linked Charts:

• P1:fed_yield_curve_sample_plot

• P1:replication_method_curves

• P1:replication_gsw_overlays

• P1:replication_correlation_heatmaps

Pipeline Manifest

Pipeline Name	p14_us_treasury_yield_curve_construction_and_model_comparison
Pipeline ID	P1
Lead Pipeline Developer	Phoebe Fingold, Annie Reynolds
Contributors	Phoebe Fingold, Annie Reynolds
Git Repo URL
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-03-11 00:04:57
OS Compatibility
Linked Dataframes	P1:crsp_treasury_daily_prices P1:crsp_treasury_issue_info P1:crsp_treasury_consolidated P1:fed_yield_curve_all P1:fed_yield_curve

Chart: Spline Method Curves (Discount, Spot, Forward)