https://www.econstor.eu/handle/10419/153308
EconStor: How arbitrage-free is the Nelson-Siegel Model?
EconStor is a publication server for scholarly economic literature, provided as a non-commercial public service by the ZBW.
arbitrage freethe nelsoneconstorsiegelmodel
https://www.mathworks.com/help/fininst/fitnelsonsiegelirfunctioncurve.html
fitNelsonSiegel - Fit Nelson-Siegel function to bond market data - MATLAB
This MATLAB function fits a Nelson-Siegel function to market data for a bond.
nelson siegelbond marketfitfunctiondata
https://www.frbsf.org/research-and-insights/publications/working-papers/2010/03/the-affine-arbitrage-free-class-of-nelson-siegel-term-structure-models/
The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models - San Francisco Fed
Mar 1, 2010 - We derive the class of affine arbitrage-free dynamic term structure models that approximate the widely-used Nelson-Siegel yield curve specification. These...