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Paper / 2026SMQ / 156772905364573
Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiability
Daniel Guterding / Emrah Gülay / Robert Flassig
fixed income / interest ratesResource overview

Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiability

Paper2026

by Daniel Guterding, Emrah Gülay, Robert Flassig

Tags
fixed incomeinterest rateslinear algebranumerical methodsterm structure models

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Suggested foundations for rates and fixed income and optimisation and numerical methods. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

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  3. Vectors, Matrices and Linear Systems

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  4. Constrained and Convex Optimisation

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  1. Bootstrapping the Spot Curve from Market Instruments

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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  3. Calibration as an Inverse Problem

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