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Nonlinear interpolation with Solver to construct yield curve

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Uploaded by on Feb 25, 2008

Excel's solver tool is a really powerful way to perform nonlinear interpolation. Here I interpolate to build a nonlinear U.S. Treasury yield curve (term structure)

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Education

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  • Unfortunately i have an old version of excel.

    Where do I download a solver add in?

  • thank you so much. this is super useful.

  • It is the Nelson-Siegel function - kinda exponential function.

  • Thank you very much for your tutorials David. I would be lost without them.

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