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Nowadays, government yield curves are customarily built with only coupon bonds. Zero coupon bonds (i.e., STRIPS in the US) are much less liquid compared with coupon Treasuries, and tend to trade very differently. If you plot a zero curve implied by coupon Treasuries vs yields of STRIPS, you'll notice that they can differ quite a bit in certain parts of the ...


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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 ...


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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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if I read it correctly the paper you mention is about Nelson-Siegel and not Nelson-Siegel Svensson. The easier way to cross check it is to simply start by fixing theta and estimate the remaining parameters by OLS. If that works, then the optimization algorithm should work similarly. Below I attach a simple matlab code that does it and that you can adapt for ...


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



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