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
2026-01-02 00:00:00.0
7.5358
-2.1464
-15.2132
17.6262
9.5722
9.8044
2026-01-01 00:00:00.0
7.4608
-2.0813
-14.8817
17.9614
11.9311
11.9364
[Note : CCIL does not authorize commercial use of the data available in its website without written permission.]