Yield curve generated using Treasury considerably higher than the curve by DOT

Posted by hudsoncity on
URL: http://quantlib.414.s1.nabble.com/Yield-curve-generated-using-Treasury-considerably-higher-than-the-curve-by-DOT-tp14229.html

The yield curved is generated using 4,13,26, and 52 weeks T-bills, and 2,3,5,7, and 10 year T-notes, and 30 year T-bond that are published in treasurydirect.com. The code is pretty much a knockoff of the bonds.cpp. The curve produced by the code using the treasury from the treasurydirect.com is considerably higher than the Treasury Curve in http://www.treasury.gov/resource-center/data-chart-center/Pages/index.aspx. I checked the calender, daycounter, settlement date, and etc, and they seem fine to me. It would be appreciated if someone could help me to identify the problem.

 

The significant discrepancy between the two curves prevents me from using the 20 year composite rate, because it is considerably smaller than that in the curve I generated. Without using the 20 year composite rate, the long-term portion of the curve will be concave instead convex as shown in the Treasury Curve. 

 

Thanks

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