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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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.
Nelson-Siegel with one more hump
The Nelson-Siegel model fits most yield curves well, but it stumbles when the curve has two curvature movements, two humps. Lars Svensson solved this in 1994 by adding a fourth term with its own decay factor. The result is flexible enough to capture nearly any curve shape observed in the market.
That extra flexibility explains why the Svensson model became the de facto standard for European central banks, like the European Central Bank and the Bundesbank, to publish their estimated yield curves. The six parameters have an interpretation similar to Nelson-Siegel's: level, slope and two curvatures, each acting in a maturity range controlled by the lambdas.
Enter the four betas in percent, the two lambdas and the desired maturity. The tool returns the spot rate for that maturity. It's the tool for interpolating points on the curve or reproducing the rate for any maturity from the parameters published by a central bank.
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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.
Bootstrap the Zero Curve
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Vasicek Bond Price
Computes the price of a zero-coupon bond with the Vasicek model, the first short-rate interest-rate model with mean reversion. It describes the short rate oscillating around a long-run mean and yields a closed form for the bond price from four parameters: reversion speed, mean, volatility and current rate. Despite allowing negative rates, it's the foundation of the whole family of term-structure models. Enter the parameters and the maturity, and see the price and implied yield.
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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.