Implementation:Avhz RustQuant NelsonSiegel

Knowledge Sources	RustQuant
Domains	Stochastic_Processes, Quantitative_Finance
Last Updated	2026-02-07 19:00 GMT

Overview

Concrete implementation of the Nelson-Siegel (1987) yield curve model provided by the RustQuant library.

Description

The Nelson-Siegel model is a parsimonious, parametric model for fitting the yield curve. The spot rate at maturity tau is given by:

r(tau) = beta0 + beta1 * [(1 - e^(-tau/lambda)) / (tau/lambda)] + beta2 * [(1 - e^(-tau/lambda)) / (tau/lambda) - e^(-tau/lambda)]

where:

• beta0 controls the long-term level (asymptotic rate)
• beta1 controls the short-term component (slope)
• beta2 controls the medium-term component (curvature/hump)
• lambda controls the decay rate (position of the hump)

Key parameters:

• beta0 (f64) -- Long-term level
• beta1 (f64) -- Short-term slope factor
• beta2 (f64) -- Medium-term curvature factor
• lambda (f64) -- Decay parameter

Usage

Use this model for yield curve fitting and interpolation with a small number of parameters. The Nelson-Siegel model captures the typical shapes observed in yield curves (upward sloping, flat, humped, inverted). This struct defines the parameters; it does not implement the CurveModel trait directly (see NelsonSiegelSvensson for a full implementation).

Code Reference

Source Location

• Repository: RustQuant
• File: crates/RustQuant_stochastics/src/nelson_siegel.rs
• Lines: 1-36

Signature

pub struct NelsonSiegel {
    pub beta0: f64,
    pub beta1: f64,
    pub beta2: f64,
    pub lambda: f64,
}

impl NelsonSiegel {
    pub const fn new(beta0: f64, beta1: f64, beta2: f64, lambda: f64) -> Self
}

Import

use RustQuant::stochastics::NelsonSiegel;

I/O Contract

Inputs

Name	Type	Required	Description
beta0	f64	Yes	Long-term level (asymptotic rate)
beta1	f64	Yes	Short-term slope factor
beta2	f64	Yes	Medium-term curvature factor
lambda	f64	Yes	Decay parameter controlling hump position

Outputs

Name	Type	Description
NelsonSiegel	struct	The parameterized Nelson-Siegel model instance

Usage Examples

use RustQuant::stochastics::NelsonSiegel;

// Create a Nelson-Siegel model
let ns = NelsonSiegel::new(0.0806, -0.0031, -0.0625, 1.58);

// Access parameters directly
let long_term_rate = ns.beta0;  // 0.0806
let slope = ns.beta1;           // -0.0031
let curvature = ns.beta2;       // -0.0625
let decay = ns.lambda;          // 1.58

Related Pages

• Principle:Avhz_RustQuant_Yield_Curve_Construction