yc_nelson_siegel: Fit Nelson-Siegel Yield Curve

In yieldcurves: Yield Curve Fitting, Analysis, and Decomposition

Fit Nelson-Siegel Yield Curve

Description

Estimate a Nelson-Siegel (1987) yield curve model from observed maturity-rate pairs. The model decomposes the yield curve into three factors: level, slope, and curvature.

Usage

yc_nelson_siegel(
  maturities,
  rates,
  tau_init = 1,
  weights = NULL,
  type = c("zero", "par", "forward"),
  date = NULL
)

Arguments

maturities	Numeric vector of maturities in years.
rates	Numeric vector of observed yields as decimals.
tau_init	Numeric. Initial value for the decay parameter tau. Default is 1.
weights	Optional numeric vector of weights for each observation. Must be the same length as maturities. Useful for emphasising liquid tenors. If NULL (default), all observations are equally weighted.
type	Character. Rate type: "zero" (default), "par", or "forward".
date	Optional Date for the curve.

Details

The Nelson-Siegel model is:

r(m) = \beta_0 + \beta_1 \frac{1 - e^{-m/\tau}}{m/\tau} + \beta_2 \left(\frac{1 - e^{-m/\tau}}{m/\tau} - e^{-m/\tau}\right)

Value

A yc_curve object with method = "nelson_siegel" and params containing beta0, beta1, beta2, and tau.

References

Nelson, C.R. and Siegel, A.F. (1987). Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4), 473–489. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1086/296409")}

Examples

maturities <- c(0.25, 0.5, 1, 2, 3, 5, 7, 10, 20, 30)
rates <- c(0.052, 0.050, 0.048, 0.045, 0.043, 0.042, 0.041,
           0.040, 0.042, 0.043)
fit <- yc_nelson_siegel(maturities, rates)
fit

yieldcurves documentation built on March 26, 2026, 5:06 p.m.