the Nelson, Siegel and Svensson Model

Calibrating the Term Structure Using the Nelson, Siegel and Svensson Model

  • The Nelson, Siegel and Svensson Model is commonly used to fit the term structure of interest rates; the purpose of the model is giving the intuition of the fitting¬†;
  • An OLS method is used to minimise the difference between the observed data points and the approximated ones ¬†;
  • Solver has been associated to a macro, in case of failure, please follow the instructions in the "Methodology".

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