Workspace /A5 Curve Fitting
A5

Curve Fitting

Fit a smooth curve to the Treasury par yields and compare it with the raw points: Nelson–Siegel, Svensson or a cubic spline, with what each parameter means, the fit error at every tenor, and which bonds sit rich or cheap to the curve.

Learning focus: how central banks publish curves, and using residuals to spot relative value.

Curve and model

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Fix parameters
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Leave blank to fit. Fixing the decay (τ1 = 1.37 years is a common choice) makes the betas a simple linear fit.