Yield Curves

This is a yield curve building page that uses regression and B-Splines to display the term structure of interest rates and discount factors derived from UK government bonds.

Both nominal and real term structures are constructed with derived zero coupon inflation. This site is in beta test mode and subject to disclaimers

Tables below the charts can be used to display data at selected intervals.

The first charts are for nominal bonds, the second display the real term structure derived from index linked Gilts.
From these two pieces of information a term structure of implied zero coupon inflation is derived.
Derived inflaion includes the normal three month lag and no adjustment is made for seasonality.
Regression diagnostics are available including tests for heteroskedasticity and normally distributed residuals.

Regression Diagnostics
Rich / Cheap Table

Calculation Date: 2017-06-27

Number of spline functions for nominal bond curve: 9
Number of bonds used for nominal bond curve: 45
R squared for nominal bond curve: 0.999999999611823

Number of spline functions for index linked bond curve: 7
Number of bonds used for index linked bond curve: 29
R squared for index linked bond curve: 0.999999999316613


Date interval for table:

         Date Nominal_Rate Nominal_DF Real_Rate  Real_DF ZC_Inflation
1  2017-06-27         NA %  1.0000000      NA % 1.000000         NA %
2  2018-06-27      0.271 %  0.9972943   -3.36 % 1.034814       3.76 %
3  2019-06-27      0.199 %  0.9960379   -3.08 % 1.064566       3.38 %
4  2020-06-27      0.245 %  0.9926807   -2.83 % 1.090038       3.16 %
5  2021-06-27      0.358 %  0.9857958   -2.61 % 1.111812       3.05 %
6  2022-06-27      0.492 %  0.9757505   -2.43 % 1.130682       2.99 %
7  2023-06-27      0.631 %  0.9629740   -2.26 % 1.147367       2.96 %
8  2024-06-27      0.768 %  0.9478437   -2.13 % 1.162625       2.96 %
9  2025-06-27      0.899 %  0.9308630   -2.02 % 1.177095       2.98 %
10 2026-06-27      1.023 %  0.9124137   -1.93 % 1.191538       3.01 %
11 2027-06-27      1.138 %  0.8929157   -1.86 % 1.206661       3.06 %
12 2028-06-27      1.244 %  0.8727167   -1.81 % 1.222857       3.11 %
13 2029-06-27      1.341 %  0.8521827   -1.78 % 1.239946       3.17 %
14 2030-06-27      1.429 %  0.8314365   -1.75 % 1.257858       3.23 %
15 2031-06-27      1.510 %  0.8106548   -1.73 % 1.276476       3.29 %
16 2032-06-27      1.583 %  0.7899581   -1.71 % 1.295740       3.35 %
17 2033-06-27      1.649 %  0.7696365   -1.70 % 1.315429       3.40 %
18 2034-06-27      1.707 %  0.7498099   -1.69 % 1.335479       3.45 %
19 2035-06-27      1.758 %  0.7306549   -1.68 % 1.355776       3.49 %
20 2036-06-27      1.800 %  0.7122994   -1.67 % 1.376262       3.52 %
21 2037-06-27      1.834 %  0.6950208   -1.66 % 1.396707       3.55 %
22 2038-06-27      1.860 %  0.6789440   -1.65 % 1.417096       3.56 %
23 2039-06-27      1.876 %  0.6641772   -1.63 % 1.437474       3.57 %
24 2040-06-27      1.885 %  0.6506312   -1.62 % 1.457969       3.57 %
25 2041-06-27      1.887 %  0.6383024   -1.62 % 1.478541       3.56 %
26 2042-06-27      1.883 %  0.6270748   -1.61 % 1.499314       3.55 %
27 2043-06-27      1.874 %  0.6168710   -1.60 % 1.520362       3.53 %
28 2044-06-27      1.861 %  0.6075893   -1.59 % 1.541812       3.51 %
29 2045-06-27      1.845 %  0.5992031   -1.58 % 1.563619       3.48 %
30 2046-06-27      1.825 %  0.5916083   -1.58 % 1.585912       3.46 %
31 2047-06-27      1.804 %  0.5847274   -1.57 % 1.608761       3.43 %
32 2048-06-27      1.780 %  0.5784668   -1.57 % 1.632302       3.40 %
33 2049-06-27      1.755 %  0.5727832   -1.56 % 1.656478       3.37 %
34 2050-06-27      1.730 %  0.5675804   -1.56 % 1.681423       3.34 %
35 2051-06-27      1.704 %  0.5627804   -1.56 % 1.707207       3.32 %
36 2052-06-27      1.678 %  0.5582930   -1.56 % 1.733966       3.29 %
37 2053-06-27      1.653 %  0.5540642   -1.56 % 1.761594       3.26 %
38 2054-06-27      1.628 %  0.5500031   -1.56 % 1.790204       3.24 %
39 2055-06-27      1.604 %  0.5460315   -1.56 % 1.819834       3.22 %
40 2056-06-27      1.581 %  0.5420602   -1.56 % 1.850610       3.20 %
41 2057-06-27      1.561 %  0.5380324   -1.57 % 1.882403       3.18 %
42 2058-06-27      1.542 %  0.5338591   -1.57 % 1.915335       3.16 %
43 2059-06-27      1.525 %  0.5294620   -1.58 % 1.949445       3.15 %
44 2060-06-27      1.510 %  0.5247495   -1.58 % 1.984873       3.14 %
45 2061-06-27      1.498 %  0.5196690   -1.59 % 2.021463       3.13 %
46 2062-06-27      1.488 %  0.5141296   -1.59 % 2.059350       3.13 %
47 2063-06-27      1.482 %  0.5080532   -1.60 % 2.098575       3.13 %
48 2064-06-27      1.479 %  0.5013423   -1.60 % 2.139288       3.13 %
49 2065-06-27      1.479 %  0.4939551   -1.61 % 2.181308       3.14 %
50 2066-06-27      1.483 %  0.4857958   -1.62 % 2.224784       3.15 %
51 2067-06-27      1.491 %  0.4767863   -1.62 % 2.269754       3.17 %
52 2068-06-27      1.504 %  0.4668197   -1.63 % 2.316388       3.19 %

References:
Steeley, James M. "Estimating The Gilt-Edged Term Structure: Basis Splines And Confidence Intervals." Journal of Business Finance & Accounting 18.4 (1991): 513-29.
Anderson, N. Sleath, J. "New Estimates of the UK Real and Nominal Yield Curves" Bank of England (2001)

Gilt price and static data used for calculations are drawn from daily figures available at: DMO.gov.uk