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  • months Spot Rates (In %) NS

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    zehra15
    5 views2 pages
    The document contains yield curve data with spot rates at different time periods as well as coefficients from fitting the Nelson-Siegel-Svensson yield curve model to the data. The model estimates level, slope, and curvature factors that best fit the spot rate data with a root mean squared error of 0.049845.

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    nelson sigel

    Original Title

    3 factor 06

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    The document contains yield curve data with spot rates at different time periods as well as coefficients from fitting the Nelson-Siegel-Svensson yield curve model to the data. The model estimates level, slope, and curvature factors that best fit the spot rate data with a root mean squared error of 0.049845.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    5 views2 pages

    months Spot Rates (In %) NS

    Uploaded by

    zehra15
    The document contains yield curve data with spot rates at different time periods as well as coefficients from fitting the Nelson-Siegel-Svensson yield curve model to the data. The model estimates level, slope, and curvature factors that best fit the spot rate data with a root mean squared error of 0.049845.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    l=

    0.0609

    loadings on
    t/months Spot rates(in %)
    3
    3.5488575
    6
    3.6591693
    12
    3.7512261
    24
    3.8430606
    36
    3.9055944
    60
    4.0090913
    84
    4.0857435
    120
    4.1572896
    240
    4.2986349
    360
    4.1168462

    b3

    b2

    b1
    1
    1
    1
    1
    1
    1
    1
    1
    1
    1

    0.913968124
    0.837660023
    0.709464126
    0.525543929
    0.405195917
    0.266588021
    0.194307144
    0.136744642
    0.068418141
    0.045612115

    0.0809501
    0.14374099
    0.22794051
    0.29367893
    0.29354745
    0.24070065
    0.18830477
    0.13607449
    0.06841769
    0.04561211
    X

    X
    1
    1
    1
    1
    1
    1
    1
    1
    1
    1

    0.913968124
    0.837660023
    0.709464126
    0.525543929
    0.405195917
    0.266588021
    0.194307144
    0.136744642
    0.068418141
    0.045612115

    10 4.1035022
    4.103502181 2.6150166
    1.718967696 0.7555187

    39.3755134
    15.4853055
    6.725350246

    XY

    e2

    e
    -0.0364
    0.025265
    0.033545
    -0.00013
    -0.0239
    -0.02489
    -0.00512
    0.020111
    0.105931
    -0.09441

    0.001325131
    0.000638343
    0.001125247
    1.81003E-08
    0.000571171
    0.000619292
    2.62011E-05
    0.00040444
    0.011221461
    0.008913599

    1
    1
    1
    0.913968 0.83766 0.709464126
    0.08095 0.143741 0.227940508

    0.0809501
    0.143741
    0.2279405
    0.2936789
    0.2935474
    0.2407006
    0.1883048
    0.1360745
    0.0684177
    0.0456121

    XX

    NS
    3.58526
    3.633904
    3.717681
    3.843195
    3.929494
    4.033977
    4.090862
    4.137179
    4.192704
    4.211258

    (X X)

    1.718967696
    0.755518723
    0.370261888

    -1

    0.592175 -0.32878111
    -0.32878 1.114177128
    -2.07834 -0.74708626

    4.4
    4.2
    4
    3.8
    3.6
    3.4
    3.2
    3
    0

    50

    100

    150

    200

    250

    300

    350

    400

    b1
    b2
    b3

    RMSE

    0.049845

    level
    slope
    curvature

    4.116846
    0.567989
    0.020417

    4.248367
    -0.71697
    -0.09661

    1
    1
    1
    1
    1
    1
    1
    0.525544 0.405196 0.266588 0.194307 0.136745 0.068418 0.045612
    0.293679 0.293547 0.240701 0.188305 0.136074 0.068418 0.045612

    -2.07834
    -0.74709
    13.87406

    Nelson Siegel 3F fit


    actual

    400

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