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Jojo, once again the paper is about Nelson-Siegel and not Nelson-Siegel svensson (the former allows for one hump whereas the latter for two humps). Jojo, in practice people often start by fixing $\lambda$ then estimate the model by OLS and check the squared errors of the model. Then change $\lambda$ and repeat the procedure. This is highly efficient, and ...


EONIA swaps stopped trading some time in 2014. Since it stopped trading, it does not make sense to remember when it stopped trading :).


Say at time $t$ , the cash flows of some bond $b$ can be described by the two vectors $\textbf{c}$ and $\textbf{t}$, containing information about the value of the nominal cash flows and cash flow times in years, respectively. Similarly, if we have a range of bonds $B = \{ b_1, ..., b_n\}$ that trade on a market, the matrices $\textbf{C}$ and $\textbf{T}$ ...

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