I was wondering how the yield curve for US treasuries are constructed (ex. USGG10Y, USGG5Y, etc.). How to compute for it exactly (what deals/quotes are included in it, what financial institutions are involved, etc.)?
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USGG10Y is the rolling 10-year on-the-run series. On each day, it reflects the yield of the current 10-year on-the-run note. On an auction date, after a new 10-year Treasury is issued, it starts tracking the new 10-year bond yield.
The default USGG10Y series is a composite quote from a few dealers. But frankly, given the liquidity and depth of the Treasury market, the quotes of on-the-run issues are pretty much identical from dealer to dealer. Using the quotes from any dealer will allow you to replicate USGG*Y very closely.