treasury-yield-curve

Parse the US Treasury daily par yield curve XML feed into plain JavaScript objects, and compute a few curve-shape signals. Zero dependencies, Node built-ins only.

Usage

const { parseYieldCurveXml, curveSignals } = require('./src/core');
const { fetchYieldCurveXml } = require('./src/fetch');

const xml = await fetchYieldCurveXml(2026);
const rows = parseYieldCurveXml(xml);
console.log(curveSignals(rows));

Input / output

parseYieldCurveXml(xmlString) takes the Treasury OData/Atom XML and returns an array sorted by date ascending, one item per <entry>:

[{ "date": "2026-09-17", "rates": { "1M": 4.2, "2Y": 3.9, "10Y": 4.1, "30Y": 4.6 } }]

• date comes from d:NEW_DATE (time part dropped).
• rates holds every d:BC_* tag present, keyed 1M 2M 3M 4M 6M 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y, as numbers.
• Empty tags and tags marked m:null="true" are omitted (never NaN).

curveSignals(rows) looks at the last row and returns:

{ "latestDate": "2026-09-18", "spread2s10s": -0.25, "inverted": true,
  "changeVsPrevious": { "1M": -0.02, "2Y": 0.4, "10Y": -0.05 } }

• spread2s10s = 10Y minus 2Y, rounded to 2 decimals (null if either is missing).
• inverted = spread2s10s < 0 (false when null).
• changeVsPrevious = last minus previous row for tenors present in both, rounded to 2 decimals ({} with a single row).

fetchYieldCurveXml(year, opts) (in src/fetch.js) downloads one calendar year of XML from home.treasury.gov only, with a descriptive User-Agent (override with opts.userAgent; opts.timeoutMs sets the timeout). It needs Node 18+ for global fetch and is not covered by the offline tests.

Limitations

• The XML is read with regular expressions, not a full XML parser. It is written for the Treasury feed's layout and is not a general XML parser.
• Entries without a valid d:NEW_DATE are skipped.
• Only the par yield curve tenors listed above are read; other tags (e.g. BC_30YEARDISPLAY) are ignored.
• The previous row is the previous entry in the data, which may be several calendar days earlier (weekends, holidays).
• Rounding uses Math.round on floating-point values; do not rely on exact half-way behaviour.
• Signals cover only the 2s10s spread and day-over-day changes. Nothing is forecast.

Tests

npm test

Disclaimer

This tool reports public U.S. Treasury data as-is. It is not investment advice, makes no prediction, and may contain errors or omissions. Use at your own risk; verify against home.treasury.gov.

License

MIT