Zero coupon yield curve

Calculation of old G-Curve is terminated since January 03, 2018. Please, switch to new G-Curve 

The zero coupon yield curve is a conventional way to describe the term structure of interest rates for one type financial instruments (debt securities) with  similar qualities including  credit quality.  The tool is widely used by central and commercial banks as well as financial companies for analytical purposes. The zero coupon yield curve for government securities serves as the main indicator of the financial market and the benchmark for evaluating bonds and other financial instruments.
The zero coupon yield curve for government securities is determined based on trades in Russian government bonds (GKO-OFZ). In particular, this curve allows investors to:

• analyze historical dynamics of base rates for different terms;
• evaluate and define price characteristics for new bond issues including corporate (taking into account relevant credit spreads between the bond issues and government securities);
• calculate coupon yields and procedure for calculating yield for variable coupon federal bond issues;
• identify opportunities for arbitrage trading in underestimated and overestimated bonds;
• create derivative instruments based on rates for different terms, and other values calculated based on the zero coupon yield curve.

The curve is calculated on a real time basis as trades are executed.
The Nelson-Siegel parametric model with adjusting terms added (for continuously compounded interest) underlies the zero coupon yield curve plotting:

Where the first line represents the Nelson-Siegel parametric model, and the second includes adjustments added in order to describe the initial part of the curve more accurately.

• Graphs and values
• List of securities employed in the plotting of the curve and the model's parameters
• Archive of intraday parameters of the curve
• Archive of calculated yields
• Archive of average daily parameters of the curve  
• Archive of the list of securities employed in the plotting of the curve
• Methodology of calculation of the Zero coupon government bonds yield curve

TERMS OF USE: Name of the indicator "MOEX GCURVE" is registered trademark of Moscow Exchange.

Any usage of the trademarks without the written consent of the Exchange is prohibited. Any usage of the trademarks is subject to the license agreement with Moscow Exchange. For more details, please visit the page Trademarks*.