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".
