Metadata-Version: 2.1
Name: nelson-siegel-svensson
Version: 0.2.0
Summary: Implementation of the Nelson-Siegel-Svensson interest rate curve model.
Home-page: https://github.com/luphord/nelson_siegel_svensson
Author: luphord
Author-email: luphord@protonmail.com
License: MIT license
Keywords: nelson_siegel_svensson
Platform: UNKNOWN
Classifier: Development Status :: 2 - Pre-Alpha
Classifier: Intended Audience :: Developers
Classifier: License :: OSI Approved :: MIT License
Classifier: Natural Language :: English
Classifier: Programming Language :: Python :: 3.7
Requires-Dist: Click (>=6.0)
Requires-Dist: numpy (>=1.14)
Requires-Dist: scipy (>=1.2)

============================
Nelson-Siegel-Svensson Model
============================


.. image:: https://img.shields.io/pypi/v/nelson_siegel_svensson.svg
        :target: https://pypi.python.org/pypi/nelson_siegel_svensson

.. image:: https://img.shields.io/travis/luphord/nelson_siegel_svensson.svg
        :target: https://travis-ci.org/luphord/nelson_siegel_svensson

.. image:: https://readthedocs.org/projects/nelson-siegel-svensson/badge/?version=latest
        :target: https://nelson-siegel-svensson.readthedocs.io/en/latest/?badge=latest
        :alt: Documentation Status




Implementation of the Nelson-Siegel-Svensson interest rate curve model.

.. code-block:: python

        from nelson_siegel_svensson import NelsonSiegelSvenssonCurve
        import numpy as np
        from matplotlib.pyplot import plot

        y = NelsonSiegelSvenssonCurve(0.028, -0.03, -0.04, -0.015, 1.1, 4.0)
        t = np.linspace(0, 20, 100)
        plot(t, y(t))

.. image:: docs/_static/an_example_nelson-siegel-svensson-curve.png

* Free software: MIT license
* Documentation: https://nelson-siegel-svensson.readthedocs.io.


Features
--------

* TODO

Credits
-------

This package was created with Cookiecutter_ and the `audreyr/cookiecutter-pypackage`_ project template.

.. _Cookiecutter: https://github.com/audreyr/cookiecutter
.. _`audreyr/cookiecutter-pypackage`: https://github.com/audreyr/cookiecutter-pypackage


=======
History
=======

0.2.0 (2019-02-20)
------------------

* Ordinary least squares based calibration of Nelson-Siegel-Svensson
* Ordinary least squares based calibration of Nelson-Siegel
* A little bit of usage documentation

0.1.0 (2019-02-13)
------------------

* First release on PyPI.


