Data & Statistics

CCIL NSS ZCYC Parameters


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
14-06-2024 7.1910 -0.3911 -19.9374 19.6266 5.1574 5.0841
13-06-2024 7.2382 -0.4283 -19.7561 19.3952 5.6620 5.5605
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