Spot term structure is rarely available as its methodological procedures are complicated and therefore market participants substitute it with traditional term structure as an approximation. This paper proposes two hybrid optimisation algorithms consisting of traditional algorithms to reduce...

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999). Still, central banks and public wealth managers rely...