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