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A first step would obvisouly be to check if the curve you built replicates the input instruments. A second step might be to check the forwards to see if there is irregular behaviour around the curve nodes. Look at a plot of daily 3m or 6m forwards which should be smooth. Different interpolation methods will generate diferent results and for this might I ...


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It is in fact more common to fit this kind of model to coupon bonds. After all, the purpose of such curve fitting exercise is typically to obtain smoothed zero coupon curves (and by extension, smoothed par curves and forward curves). Recall that the zero coupon rates under the Svensson model can be calculated from $$ y(t) = \beta_0 + \beta_1 \frac{1 - \exp(-...


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