Nelson Siegel Model – Python Source Code

This program implements Nelson-Siegel and Nelson-Siegel-Svensson Yield Curve models.  Grid-based OLS is chosen as the parameter estimation algorithm.  Last update: change OLS to weighted OLS to improve model fitting performance.
  • Author: David Y
  • Date of release: 2019-11-13
  • Date of last update: 2019-12-01
  • Version: 1.1.0
  • License: BSD
  • Language: Python (tested in python 3.7.1)

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