US_Zero

The US_Zero command converts a U.S. Treasury interest-rate series into an implied zero-coupon bond price series.

Example

US_Zero(DGS10,10)

This example takes the 10-year Treasury constant maturity rate, DGS10, and converts it into the price of a 10-year zero-coupon bond.

Syntax

US_Zero(rateSeries, maturityYears)

The first argument is an interest-rate series. The second argument is the maturity, expressed in years.

Output

The command returns a zero-coupon price series. Higher interest rates produce lower zero-coupon prices, while lower interest rates produce higher prices.

How the Algorithm Works

For each observation, the routine treats the quoted interest rate as the yield used to discount a zero-coupon payment received at maturity. The result is a price series that moves inversely with the interest-rate series.

This transformation is especially useful when working across long historical periods or international markets where interest rates may approach zero or become negative. A zero-coupon price remains well-defined and provides a cleaner way to compare bond-market behavior through different rate regimes.

Typical Use Cases

• Converting Treasury yield series into bond-price series.
• Studying duration-like behavior from interest-rate data.
• Comparing rate regimes when yields are very low or negative.
• Creating price-based inputs for return, regression, or spectral analysis.

Notes

The command is a transformation tool. It does not estimate a full yield curve. It converts a single interest-rate series into the implied price of a zero-coupon bond with the specified maturity.

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