The Constant Maturity Treasury (CMT) curve can be built using on-the-run Treasuries. On-the-run Treasury data can be obtained from a live feed such as Reuters.
To build the CMT curve, HedgeOne uses a bootstrap method: the forward curve is linearly interpolated and constrained to be continuous. The spot rate curve is then quadratically splined and the par rate curve is cubically splined.
On-the-run securities are expensive due to the demand for special repos. To build an off-the-run curve, please refer to the Off-The-Run Treasuries page.
The following shows the dialog window for the CMT Curve Builder.
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