Nelson–Siegel / Svensson Shape Explorer
Drag the parameters and watch the forward and spot curves respond
\(f(t,t+T) = \beta_0 + \beta_1 e^{-T/\tau_1} + \beta_2 \tfrac{T}{\tau_1} e^{-T/\tau_1} \,(+\, \beta_3 \tfrac{T}{\tau_2} e^{-T/\tau_2})\)
\(\beta_0\) (long rate)
4.50%
\(\beta_1\) (short offset)
-2.00%
\(\beta_2\) (hump size)
3.00%
\(\tau_1\) (hump location)
2.0y
Svensson (5-param, second hump)
\(\beta_3\) (2nd hump size)
1.50%
\(\tau_2\) (2nd hump loc.)
8.0y
Normal
Inverted
Humped
Flat
Reset Defaults
Short rate \(f(0)=\beta_0+\beta_1\)
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Long rate \(\beta_0\)
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2y spot rate
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10y spot rate
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Shape
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