Those wishing to wallow in the extreme awfulness of current market conditions may wish to look at the HIMIPref™ graphs of the yield curve for March 31, 2007 (the peak, approximately), November 30, 2007 (the prior trough, approximately) and today (the new trough).
The curves represent spot rates, not yields-to-maturity. A single instrument will use the one-year rate to discount its dividend receivable in one year, the two year rate to discount the dividend receivable in two years, the three year …
When looking at the curve, note that it is computed with tax rates of 21.00% on dividend income; 46.4% on interest income and 23.20% on capital gains. Also note that this represents the core curve (instrument rated Pfd-1, dividend-paying, non-cumulative, operating company, non-retractible, average volume, fixed dividend) … instruments with varying characteristics will find themselves shifted off the curve in accordance with the current best-fit parameters.
For the formula used when fitting the curve, see the glossary entries on the yield curve.