Zero-coupon interest rates – analytical series – 2009 to current — discount factors [F17-2]

Notes

• F17 ZERO-COUPON INTEREST RATES – ANALYTICAL SERIES – 2009 TO CURRENT
• These tables give estimated daily zero-coupon yield, forward and discount curves in quarter-year increments out to 10 years into the future. The yield and forward curves are continuously compounded. No attempt is made to adjust for any risk premia, for example term premia. For more information on the construction of these curves see Appendix A of ‘A Term Structure Decomposition of the Australian Yield Curve’, RBA Research Dicussion Paper 2008-09 and Finlay, R and D Olivan (2012), ‘Extracting Information from Financial Market Instruments’, RBA Bulletin, March, pp 45–54.

Dimensions codes and labels

[FREQ] Frequency

• [D] Daily

[units] Units

• [per-cent-per-annum] Per cent per annum

Technical links

• Provider source data (Git repository)
• Provider in DBnomics format (Git repository)
• Dataset in DBnomics format (Git repository)