LokiDog2

Let's say you look at purely discounted bonds and assume that expectation hypothesis holds. forward rates are equal to expected future rates. Expected short term rates are 1%, 3% and 5%. Then yields are going to be equal to 1% for 1 year bond, (1%+3%)/2=2% for 2 year bond and (1%+3%+5%)/3=3% for 3 year bond (I use log rates). You expect that all bonds will go up 1% the first year, 3% the second year and 5% the third year.

Does that help?