Data Documentation & Code › International markets
KR-T yields
Transfer-learning zero-coupon yield curves for Germany, Japan, the United Kingdom, Canada and Switzerland, jointly estimated with U.S. Treasuries.
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 of the domestic bonds used in estimation on that date |
max_observed_ttm_days / _months |
Longest maturity of the domestic bonds used in estimation on that date |
max_curve_ttm_days / _months |
Last maturity with a published KR-T value: the endpoint of the curve actually published on that date |
On each date, KR-T yields are published only up to the last maturity supported by an observed domestic bond or a synthetic bond priced using FX forwards within the observed FX forward range.
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
A date is published only when domestic bond data, U.S. reference data, FX spot and FX forward quotes are all available, so the KR-T dates for a market can differ from its KR dates. The international government bond quotes and the FX spot and forward rates come from Bloomberg. Date-level inclusion and exclusion reasons are available in the bond coverage detail files.
Construction
Local bond markets have maturity gaps: on many dates no domestic bond sits near the maturity of interest. KR-T fills them from the deepest market available. U.S. Treasuries are converted into the local currency through FX spot and forward rates, and the domestic and converted bonds are fitted jointly, under a penalty on the curvature of the cross-currency spread that leaves its level and slope free. Where the domestic cross-section is already dense, KR-T reproduces standalone KR.
Stripping Discount Curves Across Currencies: Transfer Learning from US Treasuries · Paper & citation →