I'm estimating yield curves in Python using the QuantLib package and the included Nelson Siegel, Svensson, specifications. I can get the estimated parameters, but I would like to see a measure of the fit. So RMSE, MSE, or something like that...?


  • 2
    $\begingroup$ If you have actuals and estimates, you can always implement a custom performance metric. RMSE, RMSLE, MSE, etc. $\endgroup$
    – amdopt
    Jun 27 at 12:20


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