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)
click here to download
While the generation of volatility cone  can be done via e.g. a spreadsheet, the calculation is a bit repetitive and is thus more convenient to code it in C#.
• Author: David Y
• Date of first release:2014-08-30
• Version: 1.0.0
• License: BSD
• Language: C# (tested in VS Express 2013 for Desktop)
Click here to download