Implementation of the Nelson-Siegel-Svensson interest rate curve model.
Project description
Nelson-Siegel-Svensson Model
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))
Free software: MIT license
Documentation: https://nelson-siegel-svensson.readthedocs.io.
Features
TODO
Credits
This package was created with Cookiecutter and the audreyr/cookiecutter-pypackage project template.
History
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.
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