Data Documentation & Code › International markets
KR yields
Standalone Kernel Ridge Regression zero-coupon yield curves for Germany, Japan, the United Kingdom, Canada and Switzerland, each fitted to that market's own government bonds.
File format and coverage
All yield files begin with date, min_observed_ttm,
max_observed_ttm and max_curve_ttm - _days in
daily-maturity files, _months in monthly-maturity files - followed by one column per
maturity.
| Field | Meaning |
|---|---|
date | Observation date (YYYY-MM-DD) |
min_observed_ttm_days / _months |
Shortest maturity in that day's fitted bond cross-section |
max_observed_ttm_days / _months |
Longest maturity in that cross-section |
max_curve_ttm_days / _months |
Last maturity with a published KR value; the upper endpoint is that day's longest
observed domestic bond, max_observed_ttm |
Yields are annualized, continuously compounded, on a 365-day year, in
decimal units, and cells past max_curve_ttm are blank. Every variant is published as
CSV; the daily-observations, daily-maturities variant is also published as Parquet, with the same
columns.
Data availability
The government bond quotes come from Bloomberg. A date is published when the market has at least five domestic bonds and is not a Bloomberg holiday, so the sample starts later in markets whose early cross-section is thin. Date-level inclusion and exclusion reasons, and the bond count behind each date, are in the bond coverage detail files; each market's own date range is on its country page.
Construction
KR estimates the discount curve from that market's own government bonds, with no information from any other market. Rather than imposing a parametric shape it searches a general class of smooth curves, trading off how well the curve reprices the observed bonds against how much curvature it needs to do so, so the level and slope of the curve are left to the data. Estimation is independent across markets and across dates.
Stripping Discount Curves Across Currencies: Transfer Learning from US Treasuries · Paper & citation →