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All Available Maturities

T-Bills, Notes and Bonds (except callables & flowers)
30

25

20
Term to Maturity

15

10

0
70 72 74 76 78 80 82 84 86 88 90 92 94 96

Quotation Date

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0.18
Unsmoothed Fama-Bliss 0.18
Smoothed Fama-Bliss
0.16 0.16
0.14 0.14
0.12 0.12
WMAE

0.10 0.10
0.08 0.08
0.06 0.06
0.04 0.04
0.02 0.02
0.00 0.00
70 75 80 85 90 95 70 75 80 85 90 95
Quote Date Quote Date

0.18
McCulloch Cubic Spline 0.18
Extended Nelson-Siegel
0.16 0.16
0.14 0.14
0.12 0.12
WMAE

0.10 0.10
0.08 0.08
0.06 0.06
0.04 0.04
0.02 0.02
0.00 0.00
70 75 80 85 90 95 70 75 80 85 90 95
Quote Date Quote Date

0.60
Fisher, et al. Cubic Spline

0.50

0.40
WMAE

0.30

0.20

0.10

0.00
70 75 80 85 90 95
Quote Date

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100
Unsmoothed Fama-Bliss 100
Smoothed Fama-Bliss

80 80
Hit Rate (Percent)

60 60

40 40

20 20

0 0
70 75 80 85 90 95 70 75 80 85 90 95
Quote Date Quote Date

100
McCulloch Cubic Spline 100
Extended Nelson-Siegel

80 80
Hit Rate (Percent)

60 60

40 40

20 20

0 0
70 75 80 85 90 95 70 75 80 85 90 95
Quote Date Quote Date

100
Fisher, et al. Cubic Spline

80
Hit Rate (Percent)

60

40

20

0
70 75 80 85 90 95
Quote Date

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