Estimating the Nelson & Siegel Model with Excel
The Nelson and Siegel (1987) model is a very practical model to capture the term structure of interest rates with a non-linear model with just three parameters. In the youtube video we explain how you can use Excel and the solver to derive these parameters from a set of observed yields.
You can also download the Excel spreadsheet that is used in this video.
|Last modified:||12 November 2018 09.41 a.m.|