Nelson-Siegel Curve Fitting

Nelson-Siegel fits a yield curve with a handful of parameters that map onto level, slope and curvature — the three factors that explain almost all curve movement. Unlike bootstrapping it doesn't reprice every bond exactly, and that's the point: central banks use it to smooth through the noise of individual illiquid issues. The Svensson extension adds a second hump for curves that need more shape at the long end.