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.


 

Excel’s Solver is used to calibrate the model:

Download: NSS: http://pistulka.com/Excel_Shared/NSS.xlsx

Don Pistulka
Don Pistulka

Retired Credit Union CFO - Finance
Background: over 40 years in investments, asset/Liability management, banking, securities trader.
Worked for: California Credit Union, WesCorp, CalFed S&L, Crocker Bank, Carroll McEntee, Federal Home Loan Bank Board (D.C.), Western Asset Management, Security Pacific National Bank.

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