Nelson-Siegel Curve Fitting (from yields to maturity)
Last updated 9 November 2026
Function reference › Bonds › Curve Fitting
1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].
GIA_Bonds_NelsonSiegelFromYTM
Returns the best-fitted Nelson-Siegel parameters given an array of YTMs and maturities.
GIA_Bonds_NelsonSiegelFromYTM(YTMCurveDates, YTMCurveRates, SDate, Days, Interp, LastTerm, OutputType, InitialParams, Weights)Returns: Best-fitted Nelson-Siegel parameters given an array of YTMs and maturities
| Argument | Use | Description |
|---|---|---|
YTMCurveDates | Required | The array of maturity dates |
YTMCurveRates | Required | The array of YTMs |
SDate | Required | The settlement date. |
Days | Required | The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360) |
Interp | Required | The interpolation method (Linear, LogLinear, CubicSpline, Exponential) |
LastTerm | Required | The furthest maturity for the yield curve in years. |
OutputType | Required | The output type (Curve, Params) |
InitialParams | Required | The array of initial guesses for the Nelson-Siegel parameters |
Weights | Required | The array of weights for the data points |