CCIL has developed a Zero Coupon Sovereign Rupee Yield Curve by following a parametric approach, based on Nelson-Siegel-Svensson equation. The Nelson-Siegel-Svensson equation is as under:
Spot Rate = ß0 + (ß1+ß2) *(1-e (-m/ t1)) / (m/ t 1) – ß2*e (-m/ t 1) + ß3*(1- e (-m/ t 2)) / (m/ t 2) - ß3*e (-m/ t 2) where,
ß0 is the contribution of long term component ß1 is the contribution of short term component ß2 indicates the contribution of medium term component t 1 is the decay factor and m is the maturity ß2 & t 1 determine the shape of the curve ß3, t 2- are the additional parameters to incorporate an additional slope change and a additional hump
Date
ß0
ß1
ß2
ß3
tau1
tau2
2024-07-19 00:00:00.0
7.2894
-0.6095
-12.7807
12.4738
8.7878
8.4682
2024-07-18 00:00:00.0
7.2169
-0.5371
-11.2706
10.9749
6.3153
6.0732
[Note : CCIL does not authorize commercial use of the data available in its website without written permission.]