Fits a discount function to the form
$ d(t) = \exp^{-r t}, $ where the zero rate $r$ is defined as
$$
r \equiv c_0 + (c_1 + c_2)(1 - exp^{-\kappat})/(\kappa t) -
c_2 exp^{ - \kappa t}.
$$
See: Nelson, C. and A. Siegel (1985): "Parsimonious modeling of yield
curves for US Treasury bills." NBER Working Paper Series, no 1594.
Nelson-Siegel fitting method
Fits a discount function to the form $ d(t) = \exp^{-r t}, $ where the zero rate $r$ is defined as $$ r \equiv c_0 + (c_1 + c_2)(1 - exp^{-\kappat})/(\kappa t) - c_2 exp^{ - \kappa t}. $$ See: Nelson, C. and A. Siegel (1985): "Parsimonious modeling of yield curves for US Treasury bills." NBER Working Paper Series, no 1594.