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".
Nelson, Siegel & Svensson Model.xlsm.zip
Compressed Archive in ZIP Format
Scroll to top