Question: Consider the yield data in the table and fit the full yield curve for maturities from 1 to 30 years using Nelson-Siegel-Svensson model in excel.
Consider the yield data in the table and fit the full yield curve for maturities from 1 to 30 years using Nelson-Siegel-Svensson model in excel. Term to Maturity 1yr 3yr 8yr 18yr 21y Yield to Maturity 1.2% 1.6% 2.1% 2.2% 2.7%
| Time | Yield | NSS | Residual | ||
| 1 | 0.39% | 2.16% | 0.00031350342546 | 1 | 0.01 |
| 2 | 0.61% | 2.03% | 0.00020059807792 | 2 | 0.01 |
| 3 | 1.85% | 3 | 0.01 | ||
| 4 | 1.70% | 4 | 0.01 | ||
| 5 | 1.58% | 1 | 1.00 | ||
| 8 | 1.37% | 2 | 1.00 | ||
| 10 | 1.30% | ||||
| 15 | 2.70% | 1.20% | 0.00022500020190 | ||
| 20 | 1.15% | ||||
| 25 | 3.32% | 1.12% | 0.00048400000001 | ||
| 30 | 1.10% | ||||
| Sum | 0.00122310170529 | ||||
| 0.00 | |||||
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