Time to maturity τ (month) | 2 | 3 | 6 | 9 | 12 | 24 | 36 | 48 | 60 | 72 | 84 | 96 | 108 | 120 |
Average historical yield rate (%) | 2.3806 | 2.4132 | 2.4810 | 2.5256 | 2.5745 | 2.7624 | 2.9253 | 3.0673 | 3.1769 | 3.3090 | 3.3960 | 3.4719 | 3.5313 | 3.5837 |
Fitted yield rate (%) | 2.3767 | 2.3952 | 2.4498 | 2.5030 | 2.5547 | 2.7470 | 2.9166 | 3.0650 | 3.1941 | 3.3063 | 3.4037 | 3.4882 | 3.5617 | 3.6258 |
Predicted error (BP) | −0.38 | −1.80 | −3.12 | −2.26 | −1.98 | −1.54 | −0.87 | −0.23 | 1.73 | −0.27 | 0.77 | 1.63 | 3.05 | 4.21 |