Yield Curve Smoothing With The Nelson-Siegel-Svensson Model

This post starts by entering the U.S Treasury Yield curve by copy/pasting the rates from the Treasury web site. The yields are then interpolated in order to calculate spot rates using the bootstrap method. The spot rates are then linked into sheet “NSS”, and are used to smooth the yield curve using the Nelson-Siegel-Svensson Model. […]

Pricing MBS Against the U. S Treasury Spot Rate “Z” Curve

The traditional method for calculating the price on MBS is to calculate the present value of each cash flow received from the security by one discount rate. Another method would be to use more than one discount rate, the Treasury spot rate curve, sometimes referred to asĀ  Z-spread calculation or Z curve. The attached spreadsheet […]