The RATS Software Forum

Posted: **Tue Sep 13, 2016 4:56 pm**

Anyone have a good way to construct a yield curve in RATS? Bond maturity on x-axis, rate on y-axis?

Posted: **Tue Sep 13, 2016 7:32 pm**

See the bonds.rpf and bondspline.rpf example files.

Note---I found those with "yield curve" in the Help-Find in Files menu operation.

Posted: **Tue Sep 13, 2016 10:50 pm**

Excellent! Thank you.

Code: Select all

all 11
OPEN DATA "/Users/Tim/Documents/Magic Briefcase/QuickCharts/YIELDCURVE.xls"
DATA(FORMAT=XLS,ORG=COLUMNS) 1 11 MATURITY FEB232006	NOV72006	MAR192013	SEP132006
*
*
SCATTER(STYLE=LINE,XLABELS=||"1Mo"|"3Mo"|"6Mo"|"1Yr"|"2Yr"|"3Yr"|"5Yr"|"7Yr"|"10Yr"|"20Yr"|"30Yr"||, $
   OVERLAY=DOTS,OVCOUNT=2,OVSAME, HEADER="US Treasury Yield Curve",VLABEL="Interest Rate, %",HLABEL="Maturity", $
   KEY=UPRIGHT, NOKBOX, KLABELS=||"Feb. 23, 2006"|"Nov. 7, 2006"|""|""||, VMIN=4.25) 4
# MATURITY FEB232006 * * 1
# MATURITY NOV72006 * * 2
# MATURITY FEB232006 * * 1
# MATURITY NOV72006 * *  2

SCATTER(STYLE=LINE,XLABELS=||"1Mo"|"3Mo"|"6Mo"|"1Yr"|"2Yr"|"3Yr"|"5Yr"|"7Yr"|"10Yr"|"20Yr"|"30Yr"||, $
   OVERLAY=DOTS,OVCOUNT=2,OVSAME, HEADER="US Treasury Yield Curve",VLABEL="Interest Rate, %",HLABEL="Maturity", $
   KEY=LORIGHT, NOKBOX, KLABELS=||"Mar. 19, 2013"|"Sep. 13, 2006"|""|""||) 4
# MATURITY MAR192013 * * 1
# MATURITY SEP132006 * * 2
# MATURITY MAR192013 * * 1
# MATURITY SEP132006 * * 2
*

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Yield Curve?

Yield Curve?

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Re: Yield Curve?