BTRM Working Paper Series, #11

Primer: Accessible guide on estimation of the Nelson-Siegel yield curve.

Having recently posted about the importance of fitting an accurate term structure, it's great to be able to present this elegant item from Raphael Franco Chaves of John Deere Financial, Iowa, USA. He has written a succinct and easy to implement guide for the Nelson-Siegel yield curve, with an accompanying Excel worksheet and sample output results. Enjoy...

Estimation_Nelson & Siegel Yield Curve - Spreadsheet