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

Chartbook page with discount, spot, and forward curve series for each replication method.

Chart

Sources: Federal Reserve Website

Full Screen Chart

replication_method_curves

To complement the replication tables, we produced a series of charts to provide a clearer visual comparison of the Gurkaynak–Sack–Wright (GSW) curve and the three replication methods based on Waggonner (1997). These charts allow us to evaluate how the different methodologies behave across the term structure and highlight where the models produce similar or diverging estimates.

The first sub-series of charts illustrates the discount factor curve, spot rate curve, and forward rate curve for each method, where applicable. Examining these curves together provides insight into how differences in estimation techniques translate into variations in the implied term structure.

Chart Specs

Chart Name	Spline Method Curves (Discount, Spot, Forward)
Chart ID	replication_method_curves
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: Observed vs Fitted Zero-Coupon Curve (Fed Data)   Chart: Spline Method Pairwise Correlation Heatmaps