US Treasury Zero Curve, Discount Factors & Forwards

Treasury publishes daily par yields. It does not publish zero-coupon rates, discount factors or forward rates. This Actor bootstraps them from the official Daily Treasury Par Yield Curve for any date since 1990, at any maturity out to 30 years. The resulting curve reprices every published par yield exactly.

What you get

One dataset item per date, with a point for every requested maturity:

• par_published: Treasury's par yield (CMT), where Treasury publishes that tenor
• par_model: par yield implied by the curve (semiannual coupon schedule)
• zero_bey: zero rate with semiannual compounding (bond-equivalent, Treasury's convention)
• zero_cc: zero rate with continuous compounding
• discount_factor: present value of 1 paid at that maturity
• forward_instant, forward_1y: instantaneous and 1-year forward rates (continuous compounding)

Rates are in percent. Each date also carries the published curve as-is and max_reprice_error_bp, the worst difference between the curve's par yields and Treasury's.

Method

Every published tenor is treated as a par security on a bond-equivalent basis, which is how Treasury defines its curve. Bills (6 months and shorter) are single cash flows, and longer tenors are semiannual par bonds. The default monotone_convex method builds the curve with Hagan & West's monotone convex interpolation on forward rates, the method Treasury describes for its own par curve. It solves until every published tenor reprices to within 0.01 bp, and it doesn't flatten inverted curves. linear_par is a simpler alternative: par yields interpolated linearly to every half year, with flat forwards between them.

Results are regression-tested against real Treasury data from the 2008 crisis, the 2020 zero-rate period, the 2023 inversion and the 2025 addition of the 6-week bill. They are also cross-checked against the Federal Reserve's independent Gürkaynak–Sack–Wright zero curve.

Input

{ "startDate": "2026-08-01", "endDate": "2026-08-31", "tenors": [0.25, 2, 5, 7.5, 10, 30], "method": "monotone_convex" }

• startDate / endDate: a range of up to 1 year. The default is the last 30 days.
• dates: specific dates instead of a range. Dates without Treasury data (weekends, holidays) come back as uncharged error items.
• tenors: maturities in years. The default is every published tenor plus every half year.

Pricing

Pay per event:

• $0.00005 per run: Apify's standard run-start event, which waives the first 5 seconds of compute
• $0.01 per date returned, with every tenor included

A year of daily curves (about 250 dates) costs about $2.50. Dates with no Treasury data, and days that can't be fitted, are never charged.

Limits and notes

• Tenors are measured in years (months / 12), with no day-count calendar.
• Days when Treasury left a tenor blank are fitted to the tenors that were published, with a warning.
• Treasury floors published yields at zero (2020–2021 bills). Those values are used as published.
• Maturities beyond the longest published tenor are not extrapolated. Example: no 30Y from 2002 to 2006.