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The important thing to know is that the par curve, the zero curve, the forward curve, and the discount curve are just transformations of each other; they contain exactly the same information (see What is the Swap Curve?). I think the confusion arises because many books tell you to connect the yields to maturity of benchmark bonds and call it the par yield ...


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The NS model should be fit directly to bond prices. If you have the prices of all the Treasuries, you should use those directly. See this paper for how the Fed does it http://www.federalreserve.gov/pubs/feds/2006/200628/200628pap.pdf The "Daily Treasury Yield Curve Rates" are already fitted par yields (they're fitted using a cubic spline model to on-the-run ...


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I would put it a bit differently. You can do 2 things: Either you apply an optimization/fitting procedure that has all the bond prices as inputs and zero rates for the chosen maturities as outputs. The objective function is the deviation between the discounted (by the to-be-found zero-rates) cashflows of each bond and the traded bond prices. To find a ...



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