Nelson-Siegel Curve Fitting (from zero yields and bond prices)
Last updated 9 November 2026
Function reference › Bonds › Curve Fitting
1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].
GIA_Bonds_NelsonSiegel
Returns the best-fitted Nelson-Siegel parameters given arrays of zero-coupon yields and fixed coupon bond prices.
GIA_Bonds_NelsonSiegel(ZeroCouponArray, FixedCouponArray, SDate, Comp, Days, Interp, ValueType, ExDays, DR, LastTerm, OutputType, InitialParams)Returns: Best-fitted Nelson-Siegel parameters given arrays of zero-coupon yields and fixed coupon bond prices
| Argument | Use | Description |
|---|---|---|
ZeroCouponArray | Required | The array of zero-coupon bond yields |
FixedCouponArray | Required | The array of fixed coupon bond prices |
SDate | Required | The settlement date. |
Comp | Required | The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous) |
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) |
ValueType | Required | Bond price type (Clean, Dirty) |
ExDays | Required | The number of days before coupon payment, during which the bond buyer is not entitled to receive the coupon. |
DR | Required | The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment) |
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 |