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Centre of expertise CIBIF

Faculty of Economics and Business
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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.
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