About yieldcurve.pro

Yield curve analytics. Free, fast, and always current.

yieldcurve.pro provides tools for analyzing US Treasury markets without the institutional price tag. Whether you're managing a portfolio, researching market dynamics, or tracking monetary policy, our platform delivers the data and visualizations you need—updated daily and completely free.

Why yieldcurve.pro?

Treasury yields drive everything from mortgage rates to corporate borrowing costs. The yield curve's shape signals market expectations about growth, inflation, and Fed policy. Yet accessing clean, historical yield curve data and building custom analytics typically requires expensive terminals or building everything from scratch.

We solve this by providing:

API for fast programmatic access to yield data, auction results, and FOMC decisions
AI chart assistant that answers questions about the data on each charting page, with live query access to the underlying dataset
Complete historical data back to 2001, refreshed daily from official sources
Curated research including academic papers, book recommendations, and market commentary
Interactive charting tools for levels, slopes, inversions, and regime analysis
Dedicated pages for every tenor, spread, regime, term premium, and auction metric — each with current data, charts, and historical context
Real-time monitoring via custom alerts for yields, slopes, and curve regime changes (paid feature)

Who uses yieldcurve.pro?

Portfolio managers tracking duration positioning and curve strategies
Fixed-income traders monitoring auction results and curve dynamics
Quantitative analysts researching level-slope-curvature decomposition
Students and academics studying interest rate history and monetary policy
Financial journalists illustrating rate stories with accurate historical context

Tools and Resources

Rates:

Curves - Compare yield curves across any two dates, with presets for major market events.
Forwards - Explore implied forward rates derived from the par yield curve.
Inflation - CPI and Core CPI year-over-year rates with 5 Yr and 10 Yr TIPS breakeven inflation expectations.
Levels - Track individual tenor yields over time.
Slopes - Analyze spreads like 10Y-3Mo and 2s10s with full history.

All charts can be downloaded as SVG or PNG for presentations and publications.

Monitor:

Auctions - View Treasury auction results with bid-to-cover and tail data.
Correlation - Rolling daily-return correlations between Treasury ETFs and the S&P 500 across inflation regimes.
Fed - FOMC rate decisions with yield curve context at each meeting.
Mortgage - 30-Year and 15-Year fixed mortgage rates with the mortgage-Treasury spread, updated weekly from Freddie Mac.
Odds - Prediction market implied probabilities for Treasury yields and rate spreads.
Premia - ACM term premium decomposition: expectations vs. risk compensation.
Recession - Track recession risk via Estrella-Mishkin, Sahm Rule, and Chauvet-Piger models with NBER recession shading.
Regimes - Classify interest rate environments (Bull/Bear Steepener/Flattener).

All charts can be downloaded as SVG or PNG for presentations and publications.

Library:

Blog - Commentary on rates, monetary policy, and yield curve dynamics.
Books - Essential reading list for bond market practitioners.
Learn - A yield curve glossary covering fixed-income concepts, trading strategies, and monetary policy.
News - RSS feed aggregator scoring fixed-income articles for relevance.
Papers - Classic academic research on term structure and curve modeling.

Tools:

API - Fast programmatic access to yield curve data, auction results, and FOMC decisions with a built-in sandbox.
Duration - Calculate modified duration, Macaulay duration, DV01, and convexity for US Treasury bonds.
Ladder - Build a Treasury bond ladder with rung-by-rung cash flow projections using live par curve yields.
Portfolio - Lifecycle portfolio allocation calculator based on human capital theory.
Quizdle - Test your CFA knowledge with 5 daily questions covering fixed-income, equity, derivatives, portfolio management, and ethics.
Rolldown & Carry - Calculate carry, rolldown, and total return across all Treasury maturities for a given holding period.
Scenarios - Simulate rate shocks on the yield curve and see price impact across all Treasury maturities.
Screener - Screen historical yield curves by level, slope, regime, and date range.

Account Features (Free):

Alerts - Email notifications when yields, slopes, or regimes cross your thresholds (paid feature).
Dashboard - Daily summary snapshot with overnight moves, spread alerts, near-trigger warnings, and full market conditions.
Defaults - Save your preferred tenor selections and lookback periods.
Newsletter - Weekly digest of yield curve developments (coming soon!).

How to Use This Site

The sections below provide detailed guides for each tool, including operating instructions, use cases, and recommended workflows. All tools work directly in your browser—no login required for basic features.

If you find this site useful, please consider supporting our caffeine habit via the donation link.

Contact

Disclaimer

yieldcurve.pro is an educational resource. Nothing on this site constitutes financial, investment, or tax advice. All tools, data, and analysis are provided for informational purposes only. Consult a qualified professional before making investment decisions.

Curves

This app allows users to chart Treasury yield curves, as a function of tenor, for two distinct dates.

Instructions

choose the desired Start and End dates using the two date selectors — the chart updates automatically
optionally select from the Events dropdown to load a preset historical date
click the sparkle button to open ChatYCP and ask questions about the data (login required)

Notes

Start and End are pre-populated with the earliest and latest dates available, respectively
Events provides preset dates for significant market events
Each preset has a dedicated URL for easy sharing (e.g., /curves/lehman)
try asking ChatYCP: "What is the current 10Y yield?" or "What was the yield curve shape on September 15, 2008?"

Preset Events

2001 Post-9/11 - First trading day after the September 11 attacks
2003 Fed Funds 1% - Trough of post-dot-com easing cycle (very steep curve)
2006 Tightening Peak - Fed funds at 5.25% (classic late-cycle inversion)
2008 Lehman Bankruptcy - Acute financial crisis (curve shape in chaos)
2008 ZIRP Begins - Fed cuts to 0-0.25% (Zero Interest Rate Policy)
2011 Operation Twist - Fed program to flatten curve by selling short-term and buying long-term Treasuries
2020 COVID Crash - Treasury market dysfunction and liquidity crisis
2022 Fed Tightening - Start of aggressive rate hike cycle (inversion developing)
2023 Deepest Inversion - 10Y-3Mo at -189 bps (most inverted in decades)
2023 10 Yr Touches 5% - Term premium resurgence (higher-for-longer peak)

Use Cases

discover tenors with the highest or lowest yields
determine dates with upward or downward sloping yield curves
compare different interest rate environments through time
quickly compare today's curve to historical events

Further Reading

Forwards

This app allows users to explore implied forward rates derived from the US Treasury par yield curve. Forward rates represent the market's implied future interest rates under no-arbitrage conditions.

The chart overlays the zero-coupon spot curve against the implied forward curve for the selected horizon. The spot curve is bootstrapped from the par yields shown on the Curves page. Spot rates differ from par yields because par yields embed coupon reinvestment assumptions — the spot rate at each tenor represents the pure discount rate for a single future cash flow. Forward rates can only be correctly derived from spot rates, not directly from par yields.

Instructions

choose the desired Date using the date selector — the chart updates automatically
choose the desired Forward horizon (how far into the future) from the dropdown
click the sparkle button to open ChatYCP and ask questions about the data (login required)

Notes

Date is pre-populated with the latest available trading day
Forward defaults to 1 Yr
try asking ChatYCP: "Is the forward curve above or below the spot curve?" or "What is the 1Y-forward 10Y rate?"

Use Cases

assess what the market implies about future interest rates
identify carry and rolldown opportunities along the curve
compare spot rates to forward rates to gauge term premium

Further Reading

Inflation

Charts headline CPI and Core CPI (ex food and energy) year-over-year inflation rates alongside market-implied inflation expectations from TIPS breakeven rates. Use the date picker to zoom into any period.

Series

CPI YoY — headline Consumer Price Index year-over-year change, updated monthly from FRED (series CPIAUCSL)
Core CPI YoY — CPI excluding food and energy, updated monthly from FRED (series CPILFESL). The Fed's preferred measure of underlying inflation trends.
5 Yr Breakeven — market-implied average inflation over the next 5 years, derived from the spread between nominal Treasuries and TIPS. Updated daily (series T5YIE).
10 Yr Breakeven — same concept over a 10-year horizon (series T10YIE). A key long-run inflation anchor.

Use Cases

compare realized inflation against market expectations
track the gap between headline and core CPI
monitor inflation expectations for bond portfolio positioning
identify when breakeven rates diverge from realized inflation

Levels

This app allows users to chart rates for individual tenors as a function of time.

Instructions

choose the desired Start and End dates using the two date selectors — the chart updates automatically
select one or more Tenors from the dropdown menu
click the sparkle button to open ChatYCP and ask questions about the data (login required)

Notes

Start and End are pre-populated with the earliest and latest dates available, respectively
Tenor is pre-populated with short and long tenors from user preferences or system defaults (3 Mo and 10 Yr, respectively). Logged-in users can change these via Account Defaults
try asking ChatYCP: "What is the all-time high for the 10Y yield and when?" or "What was the average 10Y yield during 2023?"

Use Cases

visualize rates at different tenors as a function of time
compare tenors cross-sectionally at distinct points in time
identify high, low, and zero interest rate environments
gain a sense for the temporal evolution of the overall level of rates

Further Reading

Slopes

This app allows users to chart the difference in rates between two distinct tenors as a function of time.

Instructions

choose the desired Start and End dates using the two date selectors — the chart updates automatically
choose the desired Long Tenor and Short Tenor from the dropdown menus
click the sparkle button to open ChatYCP and ask questions about the data (login required)

Notes

Start and End are pre-populated with the earliest and latest dates available, respectively
Long Tenor and Short Tenor are pre-populated with system defaults (10 Yr and 3 Mo, respectively). Logged-in users can change these via Account Defaults
try asking ChatYCP: "Is the 10Y-2Y spread currently positive or negative?" or "When was the 10Y-2Y spread most inverted, and what was the value?"

Use Cases

identify periods of upward or downward sloping yields between two tenors
estimate the likelihood of economic recession

Further Reading

Auctions

This app allows users to explore different US Treasury Bill, Note, and Bond auction data.

The different data items include

Tail - This is the difference between the highest and average yield obtained by auction participants (reported in basis points). It is indicative of whether or not all buyers paid a similar price or did some get bonds on the cheap. A small tail relative to history is considered better.
Bid-to-Cover - This measures the total amount of bids received for a given auction divided by the amount actually sold. Higher relative to history is better.
Indirect - This is the percentage of competitive bidders (typically foreign central banks and institutions) placing bids through a primary dealer. They participate this way because they are often unable or unwilling to bid directly with the Treasury. Higher relative to history is better.
Direct - The is the percentage of institutions who are placing bids on the auction directly with the US Treasury. Higher relative to history is better.

Instructions

choose the desired Start and End dates using the two date selectors — the chart updates automatically
choose the desired Item from the dropdown menu
choose the desired Tenor from the dropdown menu
click the sparkle button to open ChatYCP and ask questions about the data (login required)

Notes

Start and End are pre-populated with the earliest and latest dates available, respectively
Tenor is pre-populated with 4-Week
each Item is given a letter grade (D- to A) relative to the entire history selected by Start and End
an equally weighted Composite is calculated from the 4 Items
the most recent Item and Composite grades are show in the chart title as well as Avg and High yields followed by the Total dollar amount auctioned
try asking ChatYCP: "How was the most recent 10-Year auction?" or "Average bid-to-cover ratios by tenor?"

Use Cases

identify periods of strengthening or weakening auctions
determine recent allocations in $ to different tenors

Further Reading

Correlation

This tool measures how Treasury bonds at each maturity co-move with the S&P 500. For six Treasury ETFs — SHV (0–1 Yr), SHY (1–3 Yr), IEI (3–7 Yr), IEF (7–10 Yr), TLH (10–20 Yr), and TLT (20+ Yr) — it computes the Pearson correlation between that ETF's daily returns and SPY's daily returns over a rolling window. The chart plots all six correlations on a single curve, ordered by tenor from shortest to longest.

The shaded band shows ±1 standard deviation of historical correlations at today's inflation level — specifically, today's reading of the chosen breakeven rate. To build it: split the full range of the breakeven series into 30 equal-width buckets, find the bucket containing today's breakeven rate, then compute the mean and standard deviation of every historical correlation that fell in that same bucket. The band answers a precise question: when breakeven inflation sat where it sits today, how dispersed were stock–bond correlations?

Controls

Horizon — the rolling-window length: 1 Mo, 3 Mo, 6 Mo, or 1 Yr of trading days. A 1 Mo window reacts fast to regime shifts but carries more noise. A 1 Yr window is stable but lags turning points.
Inflation — the breakeven series used to define inflation buckets. The 5 Yr breakeven is more volatile, so its buckets are sparser and the ±1σ band wider. The 10 Yr breakeven is more stable, concentrating more observations per bucket and producing a tighter band.

How to Read It

Line above zero — bonds at that maturity move with stocks (poor diversifier).
Line below zero — bonds hedge equity risk.
Shaded band — the typical range of correlations when breakeven inflation matched today's breakeven rate. Points outside the band are unusual for the current inflation environment.
Downward-sloping curve — longer-duration bonds are better equity hedges than shorter-duration bonds.

Use Cases

Identify which Treasury maturity best diversifies equities given today's breakeven rate.
Compare short-duration (SHV, SHY) versus long-duration (TLH, TLT) hedging behavior.
Pair with Portfolio to size bond allocations based on current correlation structure.

Why Breakevens Instead of CPI?

Stock-bond correlation shifts are driven by inflation expectations, not past prints. When markets fear future inflation, bonds sell off alongside stocks; when they fear deflation, bonds rally as stocks fall. Breakeven rates measure the expectation that drives this mechanism. CPI tells you what already happened — and publishes monthly with a lag. Breakevens update daily as markets digest each data release, giving ~250 observations per year versus 12 for CPI. That frequency matters: with 30 inflation buckets, CPI would leave most buckets nearly empty.

Notes

Breakeven rates are daily, market-implied inflation expectations derived from TIPS pricing.
ETF data starts circa 2002; breakevens from 2003. The effective start date depends on the lookback window.
The ±1σ band uses 30 equal-width buckets spanning the full historical range of the chosen breakeven series.

Fed

This app displays a historical table of Federal Open Market Committee (FOMC) rate decisions alongside yield curve context. Each row shows an FOMC decision date with the corresponding yield curve level, slope, regime classification, and any Treasury auctions that occurred on that date.

The table columns include

Date - The FOMC decision date
Target - The Fed funds target rate (upper bound)
Change - Rate change in percentage points (green for hikes, red for cuts)
Level - The long tenor yield on that date (system default: 10 Yr; links to Levels app)
Slope - The long tenor minus short tenor spread in percentage points (system defaults: 10 Yr and 3 Mo; links to Slopes app)
Regime - The yield curve regime classification based on tenor and lookback preferences (links to Regimes app)
Auctions - Treasury auctions on that date (links to Auctions app)

Notes

decisions are shown in reverse chronological order (most recent first)
only rate change decisions are displayed (excludes meetings with no change)
clicking on links in the Level, Slope, Regime, or Auction columns navigates to the corresponding app with the date pre-populated
Level, Slope, and Regime columns reflect your configured tenor and lookback preferences. Logged-in users can change these via Account Defaults

Use Cases

understand how FOMC decisions relate to yield curve conditions
identify patterns between Fed policy and market regimes
quickly navigate to detailed views for any historical FOMC date

Further Reading

Mortgage

Charts weekly 30-Year and 15-Year fixed mortgage rates from the Freddie Mac Primary Mortgage Market Survey (PMMS), plus the spread between the 30-Year mortgage rate and the 10-Year Treasury yield. Use the date picker to zoom into any period.

Series

30 Yr Fixed — average rate on a 30-year fixed-rate mortgage, the most common home loan product in the US (FRED series MORTGAGE30US)
15 Yr Fixed — average rate on a 15-year fixed-rate mortgage (FRED series MORTGAGE15US)
30 Yr Spread — difference between the 30 Yr mortgage rate and the 10 Yr Treasury yield. Reflects credit risk, prepayment risk, and origination costs. Typically 150-250 bps.
15 Yr Spread — difference between the 15 Yr mortgage rate and the 10 Yr Treasury yield. Generally tighter than the 30 Yr spread due to lower prepayment and duration risk.

Use Cases

monitor mortgage affordability for housing market analysis
track the mortgage-Treasury spread for MBS relative value
compare mortgage rate cycles with Fed tightening/easing
identify periods of unusual spread compression or widening

Odds

This page displays implied probabilities from prediction markets for Treasury rate outcomes. Data is sourced from Kalshi and Polymarket.

The landing page shows summary tables grouped by Level (Yield) and Slope (Spread) markets. Click any row to see the full detail page with a chart and outcome probabilities.

Markets covered

Fed Funds Rate - FOMC meeting outcome markets (rate cuts, holds, hikes)
10Y Daily / Weekly Yield - Bracket markets on the 10-year Treasury yield
UST Par Yield Curve - Quarterly 2Y, 5Y, 10Y, and 30Y par yield levels
3Mo T-Bill Yield - Quarterly 3-month Treasury bill yield
10Y-2Y / 10Y-3M Spreads - Yield curve spread threshold markets

Each detail page shows

Chart - The corresponding yield level or slope chart
Outcome - The strike level or bracket being priced
Probability - The market-implied probability from last trade or best ask
Volume - Total contracts traded

Notes

probabilities reflect market consensus, not forecasts
data refreshes every 5 minutes
click "View on Kalshi" or "View on Polymarket" to see the full market

Use Cases

gauge market expectations for Treasury yield movements
compare prediction market odds with yield curve signals
monitor curve spread and steepening/flattening probabilities

Further Reading

Premia

Every Treasury yield is the sum of two things: what markets expect short-term rates to average over the life of the bond and the extra yield investors demand as compensation for committing capital for longer. That extra yield is the term premium. The decomposition takes the form

$$y_n = \hat{y}_n + \xi_n$$

where

$y_n$ — observed Treasury yield at tenor $n$
$\hat{y}_n$ — risk-neutral yield (expected average short rate over the bond's life)
$\xi_n$ — term premium

The term premium is time-varying and can turn negative. During the Fed's quantitative easing programs (2008–2022), large-scale asset purchases suppressed term premia — long-term yields fell not because rate cut expectations changed, but because the risk compensation demanded by investors collapsed. Understanding which component is driving a yield move is essential for reading monetary policy signals accurately.

This tool estimates term premia using the ACM model (Adrian, Crump, and Moench 2013), the Federal Reserve Bank of New York's official decomposition methodology. It uses a three-step linear regression on principal components of the yield curve to separate the expectations and risk-compensation components at each maturity.

Instructions

use the View menu to switch between Premia and Components
in Premia view: select one or more tenors (1Y–30Y) using the checkboxes and a date range; the chart shows each selected tenor labeled as e.g. 10 Yr (premium)
in Components view: select a single tenor from the dropdown to see the full decomposition — three lines labeled 10 Yr, 10 Yr (expected), and 10 Yr (premium)
the chart updates automatically when you change dates, tenors, or view mode
click the sparkle button to open ChatYCP and ask questions about the data (login required)

Notes

term premia are estimated using all available daily yield curve history; the model re-fits after new data arrives and estimates for earlier dates may be revised slightly (normal for time-series models of this type)
negative term premia indicate that investors accept a lower yield than the expected short-rate path — common when safe-haven demand or central bank buying compresses risk compensation
try asking ChatYCP: "Current 10Y term premium?" or "How many days has 10Y TP been negative total?"
our estimates will run approximately 1–2 percentage points higher than the NY Fed's published ACM series. the ACM model's VAR learns the unconditional mean short rate from history. the NY Fed trains on data back to 1961 (including the Volcker-era rates of 5–15%); this site uses data from 2001-present, a window dominated by the zero-rate era (2008–2021). as a result, our VAR estimates that rates mean-revert to roughly 2%, attributing more of the current yield to "premium" and less to "expected short rates." this is a known limitation of re-estimating the ACM model on a shorter history, not an error in the implementation. the NY Fed's published series is linked below.

Use Cases

parsing yield moves: when the 10Y yield rises, check whether the term premium or the expectations component is driving it; a term-premium rise signals shifting risk appetite, an expectations rise signals a more hawkish Fed repricing
monitoring QE/QT impact: term premia compress during asset purchase programs and widen during balance-sheet runoff; this page makes that dynamic visible in real time
cross-maturity risk structure: compare 2Y vs. 10Y term premia to understand where in the curve investors are demanding the most compensation
historical context: place today's term premium in context — is it elevated relative to the past decade, or near the post-QE floor?

Further Reading

Recession

Charts three recession probability models — each converted to a common probability scale — alongside their equal-weight aggregate. Gray bars show official NBER recession dates. Use the date picker to zoom into any period.

Models

Probability — equal-weight average of the three component models. When only one model has data for a given date, the total equals that model's value.
Estrella-Mishkin — probit model using the 10 Yr - 3 Mo Treasury spread, computed live from yield curve data. Based on the 1996 NY Fed paper. A deeply inverted curve pushes probability above 50%.
Sahm Rule — the raw value (3-month average unemployment rise from its 12-month low) is converted to a probability via a logistic function centered at the 0.50 pp trigger threshold. Updated monthly from FRED.
Chauvet-Piger — smoothed transition probability from a dynamic Markov-switching model of coincident indicators. Updated monthly from FRED. Already expressed as a probability (0-100%).

Use Cases

monitor recession risk from multiple angles
compare model signals during curve inversion episodes
see how each model performed around historical recessions
CFA Level III portfolio strategy scenario planning

Regimes

This app allows users to see which market regime exists as of the selected date. The regime is a result of movements in yields as measured by the Level and Slope components of the yield curve.

The components of the yield curve — Level and Slope — follow the framework of Litterman and Scheinkman (1991) and account for the vast majority of historical yield curve variation. This app uses the following proxy definitions:

Level = 10 Yr (the general level of rates across the curve)
Slope = 10 Yr − 3 Mo (the spread between long and short rates)

The possible regimes are

Bull Steep - Level and Slope decreasing and increasing, respectively, characterized by short-term rates falling faster than long-term rates
Bull Flat - Level and Slope both decreasing, characterized by long-term rates falling faster than short-term rates
Bear Steep - Level and Slope both increasing, characterized by long-term rates rising faster than short-term rates
Bear Flat - Level and Slope increasing and decreasing, respectively, characterized by short-term rates rising faster than long-term rates.
Consolidation - Either the change in Level or Slope is below 5 bps over the lookback window, indicating no clear directional signal.

Changes in Level and Slope are computed relative to a lookback window. The system default is 251 market days.

Instructions

choose the desired Start and End dates using the two date selectors — the chart updates automatically
choose the desired Long Tenor and Short Tenor from the dropdown menus
click the sparkle button to open ChatYCP and ask questions about the data (login required)

Notes

Start and End are pre-populated with the earliest and latest dates available, respectively
Long Tenor, Short Tenor, and Lookback are pre-populated with system defaults (10 Yr, 3 Mo, and 251 days, respectively). Logged-in users can change these via Account Defaults
try asking ChatYCP: "What is the current yield curve regime?" or "How many regime transitions occurred in 2024?"

Use Cases

selecting the best asset classes for a given regime
risk management and hedging
economic analysis and forecasting

Further Reading

Blog

The blog shares commentary on capital markets, interest rates, fixed-income securities, and the yield curve. Posts cover topics ranging from auction analysis to regime detection to yield curve similarity measures.

Instructions

browse posts in reverse chronological order (newest first)
click Read to view the full post
use pagination at the bottom to navigate between pages

Notes

posts are paginated with 3 posts per page
each post includes tags for easy categorization
logged-in users can leave comments on individual posts

Books

A curated collection of recommended reading on the capital markets and quantitative finance.

Instructions

click on any book title to view it on Amazon

Notes

this list reflects personal recommendations and is not exhaustive

Learn

A yield curve glossary of fixed-income concepts, from fundamentals to trading strategies. Each entry explains a term used throughout the site's charting tools and analysis, with links to relevant charts and related concepts.

Instructions

browse entries grouped by category
click on any term to read the full explanation
follow chart links to see the concept in live data
explore related entries at the bottom of each page

Notes

entries cover 7 categories: Fundamentals, Spreads & Slopes, Auctions, Risk Measures, Monetary Policy, Trading Strategies, and Models & Analytics
each entry links to relevant charting tools and related glossary terms

News

A curated feed of fixed-income and macroeconomic news from trusted RSS sources. Articles are scored for relevance to help surface the most important stories for yield curve and rates market participants.

Instructions

browse articles organized by category (e.g., Fed & Monetary Policy, Treasury Markets)
click on any headline to read the full article at its source
subscribe for unlimited access to all articles

Notes

articles are refreshed throughout the day from curated RSS feeds
each article is scored for relevance to fixed-income topics
free users can read a limited number of articles per day

Papers

A collection of historically important and hard to find academic and industry research papers relevant to yield curve analysis, fixed-income, and the capital markets.

Instructions

click on any paper title to access the PDF or source
papers are organized by source
click the sparkle button to discuss any paper with ChatYCP (login required)

Notes

they are hosted...free of charge!
try asking ChatYCP: "What are the main findings of this paper?" or "How does this relate to term premium estimation?"

API

Programmatic access to US Treasury yield curve data, auction results, term premia, and FOMC decisions via a REST API with JSON responses.

The built-in playground lets you try any endpoint immediately in sandbox mode — no account or API key needed. Sandbox requests are rate-limited to 10 per day and responses are truncated to 5 rows. Toggle "Use my API key" for full authenticated access.

Endpoints cover curves, levels, slopes, forwards, premia, regimes, auctions, and fed decisions. Authentication uses Bearer tokens generated from your Account Dashboard. Rate limits reset daily at midnight UTC across Free, Basic, and Pro tiers.

Duration

Compute the key risk metrics for any US Treasury bond: modified duration, Macaulay duration, DV01 (dollar value of a basis point), and convexity. All calculations use semiannual compounding per US Treasury convention.

Instructions

select a Maturity from the dropdown (1 Mo through 30 Yr)
enter a Coupon rate and YTM (yield to maturity) as percentages — defaults are the current par yields
optionally change the Face Value (default $100)
click GO to compute all metrics

Results

Price — the clean price given the coupon rate and YTM
Modified Duration — the percentage price change per 1% yield change; the primary interest rate risk measure
Macaulay Duration — the weighted-average time to receive all cash flows, in years
DV01 — the dollar price change for a 1 basis point move in yield; used to size hedges
Convexity — the second-order curvature of the price-yield relationship; higher convexity benefits the bondholder in both directions
ΔP (+100bp) — estimated dollar price change for a 100bp rate increase using the duration + convexity approximation

The chart shows the modified duration profile across all standard US Treasury maturities at current par yields.

Use Cases

quickly estimate how much a bond's price will move for a given rate change
compare DV01 across maturities for hedge ratio construction
understand why longer-maturity bonds have more interest rate risk
verify duration and convexity values from Bloomberg or other systems

Formulas

For a bond with semiannual coupons:

Macaulay Duration = Σ(t × PV(CF_t)) / Price, converted to years
Modified Duration = Macaulay Duration / (1 + y/2)
DV01 = Modified Duration × Price / 10,000
Convexity = Σ(t(t+1) × PV(CF_t)) / (Price × (1+y)²), converted to annual
ΔP ≈ −ModDur × ΔY × P + ½ × Convexity × (ΔY)² × P

Per-tenor pages (e.g. /duration/10-year) show live metrics at current par yields for each standard Treasury maturity.

Ladder

Build a bond ladder using current US Treasury par curve yields. Specify portfolio size, number of rungs, maturity range, and an optional reinvestment rate to see per-rung metrics and aggregated cash flows.

Inputs

Portfolio Size ($) — total amount to invest across all rungs
Number of Rungs — how many bonds in the ladder (2–20)
Min Maturity / Max Maturity — shortest and longest rung
Reinvestment Rate (%) — assumed flat rate for reinvesting coupons and maturing principal
click GO to compute

Charts

Par Curve with Rungs — the interpolated par curve with each rung marked
Cash Flow Schedule — stacked bar chart of semiannual coupon and principal flows

Results

Summary card — portfolio-level aggregates: WAM, Avg Yield, Modified Duration, DV01, Convexity, Annual Income, Annualized Return
Ladder table — one row per rung with the following columns:
- Rung — sequence number (1 through N)
- Maturity — time to maturity, linearly spaced from min to max and rounded to the nearest month
- Coupon (%) — par yield at that maturity, interpolated from the live curve
- Face Value — equal dollar allocation (portfolio size / number of rungs)
- Annual Income — face value multiplied by coupon rate
- Duration — modified duration of the rung (par bond, semiannual compounding)
Cash flow table — semiannual period-by-period breakdown of all coupon and principal payments aggregated across rungs (collapsible)

Use Cases

construct a maturity-diversified Treasury portfolio with predictable cash flows
compare income and duration across different ladder configurations
estimate total return under a static reinvestment assumption
understand how rung spacing affects portfolio WAM and interest rate risk

Assumptions

all bonds purchased at par (coupon rate = par yield)
semiannual coupon payments per US Treasury convention
reinvestment model is static — coupons and principal compound at the flat reinvestment rate, not reinvested into new ladder rungs
yields interpolated via PCHIP from the live par curve

Per-ladder pages (e.g. /ladder/10-year) show pre-computed results for common ladder configurations at current yields.

Portfolio

This calculator estimates the optimal equity allocation across your lifetime using the analytic approximation from Choi, Liu & Liu (2025). The key insight: treat future labor income as human capital — a bond-like asset — and adjust the classic Merton portfolio formula accordingly.

Young workers with decades of future income have large human capital relative to financial wealth, justifying higher equity allocations. As human capital depletes with age, the optimal equity share declines naturally — no arbitrary rule of thumb required.

Instructions

enter your Age, Annual Income (in thousands), Savings (in thousands), and Retirement Age
select your Education, Risk Tolerance, and Retirement Income %
optionally adjust Equity Premium and Risk-Free Rate under Advanced Parameters
check Compare Strategies to overlay common alternatives: 60/40, Age Rule, All Stocks, and All Bonds
check Show Equity to display the equity allocation alongside the glide path chart
click GO to compute the allocation path

Results

Optimal Equity Allocation — the recommended percentage of your portfolio to hold in equities at your current age, based on your inputs
Human Capital — the present value of your future labor income, discounted for income risk and time; this is the bond-like asset that justifies a higher equity allocation when you are young
H/W Ratio — human capital divided by your current savings; a high ratio means most of your total wealth is future income, pushing the optimal equity allocation higher

Notes

Risk Tolerance maps to the relative risk aversion parameter (ρ) — higher ρ means more conservative
Retirement Income % is the Social Security replacement rate as a fraction of final working income
Equity Premium and Risk-Free Rate default to 4% and 1% respectively

Use Cases

determine an age-appropriate equity allocation grounded in theory
compare the recommended path against popular rules of thumb
see how education, income, and risk tolerance affect the glide path

Further Reading

Quizdle

Five new multiple-choice questions every day, covering both fixed-income topics (yield curve regimes, duration, spreads, historical rates) and general CFA curriculum (equity valuation, derivatives, portfolio theory, ethics, and macroeconomics). Roughly half bond, half general — balanced daily for comprehensive CFA prep.

How It Works

each day at midnight a new set of 5 questions is generated from a seed based on the date
click a choice to submit your answer — immediate feedback with an explanation
after all 5 questions, a score card appears with a shareable emoji grid
logged-in users' scores are saved automatically to the leaderboard

Question Categories

Fixed-Income:

Regime identification — given level and slope changes, name the yield curve regime
Duration ranking — compare modified duration across bonds with different maturities and yields
Spread direction — predict how the 2s10s spread changes under a given macro scenario
Historical yield levels — approximate the 10Y yield at significant market events
DV01 and convexity concepts — applied risk metric calculations

General CFA:

Equity valuation — Gordon Growth Model, CAPM, P/E analysis
Derivatives — option Greeks, put-call parity, strategies
Portfolio management — Sharpe ratio, MPT, rebalancing
Ethics — CFA Standards of Professional Conduct, GIPS
Economics — Fisher equation, Taylor Rule, fiscal and monetary policy

Scoring & Leaderboard

a colored emoji grid (green = correct, red = incorrect) summarizes your result
click Copy Result to share your score: www.yieldcurve.pro Quizdle 2026-03-12 🟩🟩🟥🟩🟩 4/5
Today tab shows the top scores for the current day
All Time tab ranks players by average score (minimum 3 games to qualify)
anonymous users can play but their scores are not saved

Use Cases

daily practice for CFA or fixed-income interview preparation
quick team activity for rates desks and portfolio teams
build intuition for how macro scenarios translate to curve movements

Rolldown & Carry

Estimate the expected return from holding a Treasury bond over a specified horizon, broken into two components: carry (income over funding cost) and rolldown (price appreciation from sliding down the yield curve).

Instructions

select a Horizon — 3 Mo, 6 Mo, or 1 Yr holding period
enter a Funding Rate — defaults to the current 3 Mo Treasury yield
click GO to compute returns for all tenors

Results

Yield — current par yield for each tenor
Carry (bps) — income earned above the funding rate over the holding period: (yield − funding rate) × horizon
Rolldown (bps) — price appreciation from the bond "rolling down" to a shorter maturity on an unchanged curve, estimated via modified duration × yield change (PCHIP-interpolated)
Total (bps) — carry + rolldown; the expected total return if the curve does not change

The chart shows carry (blue) and rolldown (lighter blue) as stacked bars for each tenor, making it easy to identify the sweet spot — the maturity offering the best risk-adjusted total return.

Use Cases

identify the tenor with the highest carry + rolldown ("sweet spot" trade)
compare the carry cost of being short the front end vs. the rolldown benefit of owning the belly
evaluate whether the yield curve offers enough rolldown to justify extending duration
understand how inverted curves flip the carry and rolldown dynamics

Notes

carry is simple: yield minus funding rate, scaled by horizon
rolldown assumes the yield curve shape does not change over the holding period
rolldown uses PCHIP interpolation to estimate the yield at the post-horizon maturity
negative total return on some tenors is normal when the curve is inverted

Per-tenor/horizon pages (e.g. /rolldown/10-year/1-year) show the carry and rolldown breakdown for a specific maturity and holding period at current yields.

Scenarios

Apply parallel shifts, twist scenarios, or custom shocks to the current US Treasury yield curve and see the price impact across all maturities. The simulator uses the duration + convexity approximation for accurate estimates even for large moves.

Instructions

select a Preset from the dropdown for a common scenario (Fed Hikes, Recession, Bear Flattener, etc.)
or select a Type — Parallel Shift or Twist
for parallel: enter the Shift in basis points (positive = rates up)
for twist: enter separate Short End and Long End shifts; intermediate tenors are linearly interpolated
click GO to compute the impact

Results

Chart — the base yield curve overlaid with the shocked curve (both solid lines)
Impact table — per-tenor breakdown:
- Base and Shocked yields in percent
- Δ (bps) — change in basis points
- ΔPrice ($) — estimated dollar price change per $100 face, using duration + convexity
- Duration and DV01 — at the base yield level

Preset Scenarios

Fed Hikes +100bp — parallel shift up; aggressive tightening
Fed Cuts -100bp — parallel shift down; easing cycle
Recession — front end -150bp, long end -50bp; bull steepener
Bear Flattener — short rates +150bp, long rates +50bp; policy tightening
Bull Steepener — short rates -100bp, long end unchanged; rate cuts begin
Bear Steepener — long rates +100bp, short end unchanged; term premium repricing
Bull Flattener — long rates -75bp, short end -25bp; flight to quality
Stagflation — parallel +200bp; persistent inflation

Use Cases

stress-test a portfolio against standard rate scenarios
visualize how different parts of the curve respond to specific shocks
compare the price sensitivity of short vs. long bonds under various macro regimes
build intuition for duration and convexity effects at different yield levels

Per-scenario pages (e.g. /scenarios/recession) show the current curve under a specific preset shock.

Screener

Search the full history of US Treasury yield curves to find dates matching specific market conditions. Filter by yield level, curve slope, regime (Bull/Bear Steepener/Flattener), and date range.

Instructions

select a Long Tenor and Short Tenor pair — these drive the level filter, slope calculation, regime detection, and chart
Level Min/Max (%): filter by the long tenor's yield in percent
Slope Min/Max (bps): filter by the spread (long − short) in basis points
Regime: optionally restrict to a specific regime (Bull Steep, Bull Flat, Bear Steep, Bear Flat)
Date range: optionally limit the search window
click Screen to find matching dates

Results

Match count — shown as a badge above the results
Chart — long tenor level and slope (long − short) as two time series, with matching dates marked as points on both
Table — each matching date with the long tenor yield, slope, regime, and a link to view the full curve on the Curves page

The table is sortable by any column and capped at the first 100 matches for performance (the match count reflects the true total).

Use Cases

find historical precedents for a specific yield environment (e.g. "10Y above 5%")
identify dates when the curve was deeply inverted (slope below -100 bps)
compare the current regime to past regimes with similar yield levels
generate a list of stress dates for backtesting
answer questions like "when was the last time the 2s10s was above +200 bps?"

Alerts

Alerts allow you to receive email notifications when specific market conditions are met. This is a paid feature that uses alert credits. See the Alerts How-To Guide for detailed instructions.

Alert types include:

Yield Alerts - Trigger when a specific tenor's yield crosses above or below your threshold (e.g., "Notify me when the 10 Yr yield rises above 4.50%")
Slope Alerts - Trigger when the yield curve slope (long tenor minus short tenor) crosses your threshold (e.g., "Notify me when the 10Y-3Mo spread falls below 0%")
Level Alerts - Trigger when the overall yield level crosses your threshold

Instructions

navigate to My Alerts from your Account Dashboard
click Create Alert to define a new alert
select the alert type, condition, and threshold
alerts are evaluated daily after Treasury data is published

Notes

triggered alerts consume alert credits (purchase via Buy Credits)
when an alert triggers, you receive an email notification
triggered alerts are automatically deleted (one-shot behavior)
one credit is consumed each time an alert triggers
you can also create alerts directly from the Morning Dashboard by clicking the + button next to any yield or metric

Use Cases

get notified when yields reach attractive entry points
monitor yield curve inversions or steepening
set price alerts for specific Treasury tenors

Dashboard

The Morning Dashboard provides registered users with a daily market snapshot, consolidating key yield curve metrics into a single view. Access the dashboard via the Dashboard link in the upper right-hand corner.

The dashboard includes:

Overnight Moves - 1-day changes for every tenor, with moves >5bp flagged in color (green for up, red for down)
Key Spreads - Daily changes for headline spreads (2s10s, 3m10y, 2s30s, 5s30s) with inversion status badges
Alerts Near Trigger - Active alerts close to firing, showing current value, threshold, and distance in basis points
Curve - Yields for all tenors with Mean, Std Dev, Z-score, and changes over Day, Week, Month, Quarter, and Year lookback periods
Level & Slope - The Level (long tenor yield) and Slope (long minus short tenor spread) with Mean, Std Dev, Z-score, and changes over the same lookback periods, using your configured tenor preferences or system defaults (10 Yr and 3 Mo)
Regimes - The yield curve regime classification at each lookback period (Bull/Bear Steep/Flat), calculated using your configured tenor and regime lookback preferences
Auctions - Recent Treasury auctions with Tail, Bid-to-Cover, Indirect, and Direct percentages, along with letter grades and composite scores
Fed - Current Fed funds target rate with changes over each lookback period

Notes

positive changes appear in green, negative in red
auction grades range from D- to A, comparing each metric to historical values
tenor links in Latest Auctions navigate to the Auctions app for that date
hovering over column names provides tool-tip text
Level, Slope, and Regime sections reflect your configured tenor and lookback preferences. Logged-in users can change these via Account Defaults

Use Cases

quickly assess overnight and recent market movements
monitor yield curve regime changes and spread inversions
catch alerts that are about to trigger before they fire
track recent auction performance at a glance
identify shifts in Fed policy relative to yield curve conditions

Defaults

Users with accounts can personalize the default tenor and regime lookback settings used throughout the application. Access these settings via your Account page (click the user icon in the upper right corner).

Customizable settings include:

Short Tenor - Short-term tenor used throughout the app for slope, regime, level, and component calculations. System default: 3 Mo
Long Tenor - Long-term tenor used throughout the app for level, slope, regime, and component calculations. System default: 10 Yr
Regime Lookback - Lookback window in trading days for regime classification. System default: 251

Once configured, your preferences will:

pre-populate dropdown menus in the Levels, Slopes, and Regimes apps
affect the Level, Slope, and Regime columns in the Fed app
apply consistently across all charts and data displays

Notes

leave any field blank to use the system default value
changes take effect immediately across all apps
your preferences persist across sessions

Use Cases

focus on preferred tenors that match your trading or research strategy
adjust regime lookback periods to match your investment horizon
quickly switch between different analytical perspectives by updating preferences from your Account page

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