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Russian Government Bond Zero Coupon Yield Curve (GCurve)

Name: Russia Yield Curve – Government Bonds Rates
Creator: Cbonds
License: https://creativecommons.org/licenses/by/4.0/

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Russian government bond zero coupon yield curve (GCurve) is a graphical representation of interest rates on Russian federal loan bonds (OFZs) across different maturities. The benchmark is widely used for discounting cash flows and valuing financial instruments. The curve is based on the Nelson–Siegel parametric model, with dynamic model parameters calculated in real time using transactions and order book data from the Russian government securities market. The calculation universe is reviewed monthly. Both executed trades and active exchange bid and offer orders are used in the calculation, allowing the curve to promptly reflect changing market conditions. The curve includes 129 tenors ranging from 1 day to 30 years. Curve values are published online daily on business days. Calculation agent: Moscow Exchange.

The data on the curves on the page is available for the past 3 years — access to additional data is available through the Cbn-data API