Nelson-Siegel model explained: Modelling yield curves (Excel)
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- Опубликовано: 30 июл 2024
- The Nelson and Siegel (1987) yield curve model is the foundational technique to make sense of various shapes and sizes yield curves can take. Today we are discussing the mathematics behind Nelson-Siegel, the economic meaning of its parameters, and how this model can generate normal, inverted, flat, and humped yield curves with a real-world application to UK government bond yields.
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This helps me a lots in understanding and applying the theory! Tons of thanks!!❤
Excellent content. Thank you
Wow, this can be done in excel
Excellent content!
Amazing. Thanks a lot.
Great! Thank you.
Amazing content! Can you also do a video of its extension, the Nelson-Siegel-Svensson model?
thank you for the explanation, it is much clearer for me now
Hi, I want to bond valuation using a matrix pricing methodology with real life example. Have you made such videos.
It would be a big help for me to get such things.
Great video! I have an excel question for you: I have some values in columns A, B and C. I need to sum values in column A if those values are between certain values in columns B and C. Say for example if B1
amazing.
Just a suggestion. A cubic spline Excel video
Hi Rafael, and thanks for the suggestion! Definitely not a topic I am a specialist on, will have a further read in my free time :)
Could you please make a Video on how to valuate interest rate options (e.g swaptions) by using e.g Ho-Lee-Model?
Please, could explain model BDT in EXCEL implementation ?
is NS supposed to give YTM or Spot rates ? I thought the later. If it is supposed to give spot rates, shouldn't Cell H13 be modified from "B7" to "$B$7:B7" ?
hi I am trying to calculate the Value cell the same way you do but the part of the SUM(F13/(1+B7)^$A$7:A8) makes an error that shows #VALUE!, can you explain what is the calculation and I will try to make it in a different way, Thank you for the video
use count() function after the power sign
In some of the NSS models we see two lamdas. Why are you using only one