Treasury Yield Curve Methodology | U.S. Department of the Treasury
https://home.treasury.gov/policy-issues/financing-the-government/interest-rate-statistics/treasury-yield-curve-methodology
WebOct 19, 2022 · The Treasury's official yield curve is a par yield curve derived using a monotone convex method. Our inputs are indicative, bid-side market price quotations (not actual transactions) for the most recently auctioned securities obtained by the Federal Reserve Bank of New York at or near 3:30 PM each trading day.
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