Home > Indices > Method for calculating a CNO Zero Coupon Yield Curve

This note presents the calculation method used by the FBA to determine the zero-coupon yield curve.

The published historical yield curve is provided by spot values for calendar years maturities comprised between 1 and 60 years.

The zero-coupon yield curve computed by the FBA is related to the swap and future yield curve. For a specific month, is calculated using the last working day closing rate of this given month.

Comité de Normalisation Obligataire | 8, rue du Mail 75002 PARIS | tel. 01 42 86 95 47 | Legal notices | Partners : Banque de France - AFTB - ACI

last update 02 May 2019