dpicone1/NelsonSiegelSvensson
The Nelson-Siegel and its extension Nelson-Siegel-Svensson are two of the most popular yield curve models They are very useful when we do not have nicely spaced bond quotes data to build the discounting factors. Sometimes up until certain maturies there are two many bonds compared with the number of maturities, and not sufficient bonds thereafter. Very often, there are multiple bonds maturiting in the same months. However there are several issues when trying to calibrate the model on real market data. The first python notebook contains an introduction. We are working on a second notebook which will deal with a more robust caibration
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