fixed-income · yield-curve · python
Nelson Siegel Model
Python toolkit for Nelson-Siegel yield-curve modeling on Treasury and TIPS curves, with a single-page browser app.
Overview
A Python toolkit for Nelson-Siegel yield-curve modeling of nominal Treasury and real TIPS curves. Ships with a clean Python API, a Jupyter notebook, and "Nelson-Siegel Studio" — a single-page browser app for interactive curve fitting, parameter exploration, historical-factor analysis, and Treasury-vs-TIPS comparison.
What it does
- Modern Flask + Plotly web UI, dark theme, no build step required.
- REST API for fitting, snapshots, history, and curve comparison.
- Treasury and TIPS out of the box, with FRED-API hookup or realistic synthetic fallback.
- Educational mode: built-in "Learn the Model" tab, slider-based parameter lab, curve-shape presets (normal / inverted / humped / flat).
- Historical factor analysis with breakeven inflation derived from the level differential.
Stack
Python · Flask · Plotly · FRED API · Jupyter.
Status
Open source. Type-hinted, tested, and packaged for pip install -e ..