Nelson Siegel

Subtype of Method

Corresponds to the NelsonSiegelFitting method in QuantLib.
The resulting zero rate r(T) for maturity T depends on 4 parameters and has the form:
r(T) = α+(β+γ)[1-e⁻ᵏᵗ]/(κT)-γ*e⁻ᵏᵀ
The QuantLib implementation actually replaces the product κT with (κ+ε)*(T+ε), where ε a very small positive number, so that setting κ or T to 0 will not result in infinity.
The parameter ordering is: α, β, γ, κ
Web reference available