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Implementation of the Nelson-Siegel-Svensson interest rate curve model.

Project description

Nelson-Siegel-Svensson Model

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Implementation of the Nelson-Siegel-Svensson interest rate curve model.

from nelson_siegel_svensson import NelsonSiegelSvenssonCurve
import numpy as np
from matplotlib.pyplot import plot

y = NelsonSiegelSvenssonCurve(0.028, -0.03, -0.04, -0.015, 1.1, 4.0)
t = np.linspace(0, 20, 100)
plot(t, y(t))
docs/_static/an_example_nelson-siegel-svensson-curve.png

Features

  • TODO

Credits

This package was created with Cookiecutter and the audreyr/cookiecutter-pypackage project template.

History

0.3.0 (2019-03-17)

  • Added type annotations

0.2.0 (2019-02-20)

  • Ordinary least squares based calibration of Nelson-Siegel-Svensson
  • Ordinary least squares based calibration of Nelson-Siegel
  • A little bit of usage documentation

0.1.0 (2019-02-13)

  • First release on PyPI.

Project details


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