I am well aware of the basic model formula and for what it is used, theoretically speaking, however I cannot find any concrete, problem solving exercises.

Soon, I will have to deal with this problem on the fixed Income exam ( paper&pen form). Some colleges from the previous generation of students have mentioned that something need to be integrated.

Could anyone point me in the right direction?

PS. I feel uncomfortable asking such an ambiguous question, but in classes we haven't had the time to cover it thoroughly, and my lecture notes concerning Nelson & Siegel model are pretty vague.


Here is a nice survey of how this model and its alternatives are used by the central banks:


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