Nelson-Siegel Yield Curve
Computes the spot rate for any maturity using the Nelson-Siegel model, the most widely used way to fit the yield curve with few parameters. The three betas control the long-run level, the slope and the curvature, while lambda sets where the curve takes shape. Central banks and fixed-income desks use this model to smooth and interpolate curves from traded bonds. Enter the three betas in percent, the lambda and the desired maturity.
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Nelson-Siegel Yield Curve
Computes the spot rate for any maturity using the Nelson-Siegel model, the most widely used way to fit the yield curve with few parameters. The three betas control the long-run level, the slope and the curvature, while lambda sets where the curve takes shape. Central banks and fixed-income desks use this model to smooth and interpolate curves from traded bonds. Enter the three betas in percent, the lambda and the desired maturity.
The yield curve in three numbers
The yield curve has dozens of points, one for each maturity, but in 1987 Nelson and Siegel showed you can describe almost all of it with just three parameters plus a shape one. That's why the model became the standard for central banks worldwide to smooth, interpolate and extrapolate curves from traded bonds.
The three betas have a direct, elegant interpretation: the first is the long-run level the curve converges to, the second controls the slope (the difference between short and long maturities) and the third creates the hump in the middle, the curvature. The lambda decides at which maturity that hump appears. Changing each one deforms the curve in a predictable way.
Enter the three betas in percent, the lambda parameter and the desired maturity. The tool returns the spot rate for that maturity according to the fitted curve. It's the tool for interpolating a rate that doesn't exist directly in the market, or for understanding what a published curve's parameters imply for each maturity.
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Svensson Yield Curve
Computes the spot rate with the Svensson curve, the extension of the Nelson-Siegel model that adds a second hump to fit more complex yield curves. With six parameters (four betas and two lambdas), it captures shapes Nelson-Siegel can't, which is why it's the choice of central banks like the ECB and the Bundesbank to publish their curves. Enter the four betas in percent, the two lambdas and the desired maturity.
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Vasicek Bond Price
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The results provided by this tool are for general informational and educational purposes only and do not constitute professional, financial, medical, legal, tax or accounting advice. Always confirm important decisions with a qualified professional and official sources.