Hi all, I'm working on trying to implement the Nelson-Siegel-Svensson (NSS) methodology to fit the Treasury yield curve. Nelson-Siegel (1987)Svensson (1994)For those who might know the model, the NSS method chooses to minimize the sum of squared residuals between the market price and the NSS predicted price based on the zero curve estimated from the NSS model where the spot rates are determined byfor a given maturity . This equation is found by integrating the forward yield curve equation given by I'm limited to using VBA, but was able to code the necessary steps to find . My two questions arose once I was done and ran the code. (1) Shouldn't I be able to use the parameters I estimated when finding the optimal spot rates/zero curve and plug this into the forward curve equation to get the forward rate for any given maturity? The reason I ask is because when I did this with the current Treasury data, I got a zero curve that seemed to match other models, but an odd looking forward curve. Namely, the forwards shot up quickly, but peaked around 5 years or so and just stayed constant (almost like an L-shaped, but not as sharp). Should this be happening? (2) Has anyone figured out how to solve for the parameters through matrix notation like you would with OLS to find the estimated parameters? My intuition is no since it is non-linear, but I figured I would ask since I'm currently using Excel's solver to find the optimal parameters (which can be very slow) and was wondering if someone found a better solution. Also, in case anyone is wondering, I'm trying to use NSS because I'm trying to replicate this paper from the Fed. Fed Paper: Treasury CurveThanks so much as always.. look forward to your insight!!