Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...

Parametric estimation approaches are widely by central banks as they produce smooth term structures with relatively few parameters. In the paper I implement the Nelson and Siegel (1987) model for Switzerland. The estimations use daily observations of Swiss government bonds from January 1994 to...