NelsonSiegelSvenssonModelle
The Nelson-Siegel-Svensson (NSS) model is a mathematical model used in finance to describe the yield curve, which is the relationship between the yields of bonds of different maturities. The model was developed by Charles Nelson and Arthur Siegel in 1987, and later extended by Lars Svensson in 1994. The NSS model is widely used in the financial industry for pricing and risk management of fixed-income securities.
The model assumes that the yield curve can be represented by a piecewise function, which consists of
The NSS model has several advantages over other yield curve models. It is relatively simple and easy
However, the NSS model also has some limitations. It assumes that the yield curve is smooth and