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These files contain daily yields curves for zero-coupon bonds, generated using pricing data for Government of Canada bonds and treasury bills.
Each row is a single zero-coupon yield curve, with terms to maturity ranging from 0.25 years (column 1) to 30.00 years (column 120). The data are expressed as decimals (e.g. 0.0500 = 5.00% yield).
A description of the methodology used to derive the yield curves is provided in Bolder, Johnson, and Metzler (2004), "An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates."
These data are updated on or near the first business day of each month, with a three-month lag. Please note that any data missing because of holidays or data problems, such as lack of bond-pricing data (e.g., 1986 – 1990), are shown as "na."
