Pro Tier Module

Yield Curve Constructor (NSS Fit + PCA Factors)

Fit the yield curve and decompose it into level, slope, and curvature - the term structure's normal modes, in your browser.

See it run - a worked example, 100% in this browser tab

The problem

Treasury and fixed-income desks need a smooth, arbitrage-free curve from a handful of quoted yields, and they need to know which factors are actually moving the curve - but the tools that do this well are expensive terminals, and a spreadsheet fit hides its residual.

The local-first solution

This plugin fits the Nelson-Siegel-Svensson curve by exact linear least squares for the betas over a grid-searched pair of decay parameters, so it always shows its RMS residual and the implied discount-factor spine. It then decomposes a historical curve panel into its principal components by diagonalising the covariance of yield changes - the same real-symmetric eigen-solver the platform uses for structural normal modes - and classifies the top three factors as level, slope, and curvature with their exact explained-variance shares. The yields are dated inputs you supply; there is no live feed.

What it does

Nelson-Siegel-Svensson curve fit with the level (long rate), slope, and curvature factors reported
RMS fit residual always shown - a smoothing fit, never an overstated exact reprice
Implied discount-factor spine D(tau) = e^(-y(tau) tau) for downstream discounting
Principal-component decomposition of a rate panel into level / slope / curvature (Litterman-Scheinkman)
Exact explained-variance share of each factor, with loading shapes classified by sign pattern
A built-in synthetic panel from a known 3-factor model that self-validates the recovery
GeoNum conditioning verdict on the fit and the eigensolve

Honest scope

The yields are dated market inputs you confirm (no live feed). NSS is a smoothing parametric fit and the residual is always shown; the PCA is on period-over-period changes and the level/slope/curvature labels are read from the loading sign-pattern. The GeoNum verdict is the conditioning of the fit and eigensolve, not a claim about future rates. Not investment advice.

Authorities cited

Fit and decompose your own curve

Paste your quoted yields or a historical panel and run it in the browser - nothing is uploaded to anyone's cloud. Save the fitted curve to a Sandbox workspace or attach it to a Worklog case.

GDBS by VaultSync Solutions Inc. - Verifiable Computation. gdbs.getvaultsync.com