Svensson Yield Curve
Implementation details
Class names
| Model name | Parameters class | Data class |
|---|---|---|
SvenssonYieldCurve | SvenssonYieldCurveQueryParams | SvenssonYieldCurveData |
Import Statement
from openbb_core.provider.standard_models. import (
SvenssonYieldCurveData,
SvenssonYieldCurveQueryParams,
)
Parameters
- standard
- federal_reserve
series_type: Literal['all', 'zero_coupon', 'par_yield', 'forward_instantaneous', 'forward_1y', 'parameters', 'beta0', 'beta1', 'beta2', 'beta3', 'tau1', 'tau2', 'sven1f01', 'sven1f04', 'sven1f09', 'svenf01', 'svenf02', 'svenf03', 'svenf04', 'svenf05', 'svenf06', 'svenf07', 'svenf08', 'svenf09', 'svenf10', 'svenf11', 'svenf12', 'svenf13', 'svenf14', 'svenf15', 'svenf16', 'svenf17', 'svenf18', 'svenf19', 'svenf20', 'svenf21', 'svenf22', 'svenf23', 'svenf24', 'svenf25', 'svenf26', 'svenf27', 'svenf28', 'svenf29', 'svenf30', 'svenpy01', 'svenpy02', 'svenpy03', 'svenpy04', 'svenpy05', 'svenpy06', 'svenpy07', 'svenpy08', 'svenpy09', 'svenpy10', 'svenpy11', 'svenpy12', 'svenpy13', 'svenpy14', 'svenpy15', 'svenpy16', 'svenpy17', 'svenpy18', 'svenpy19', 'svenpy20', 'svenpy21', 'svenpy22', 'svenpy23', 'svenpy24', 'svenpy25', 'svenpy26', 'svenpy27', 'svenpy28', 'svenpy29', 'svenpy30', 'sveny01', 'sveny02', 'sveny03', 'sveny04', 'sveny05', 'sveny06', 'sveny07', 'sveny08', 'sveny09', 'sveny10', 'sveny11', 'sveny12', 'sveny13', 'sveny14', 'sveny15', 'sveny16', 'sveny17', 'sveny18', 'sveny19', 'sveny20', 'sveny21', 'sveny22', 'sveny23', 'sveny24', 'sveny25', 'sveny26', 'sveny27', 'sveny28', 'sveny29', 'sveny30'] | None
Default: all
Description
Type of yield curve series to return. Accepts a single value or comma-separated list for multiple selections. Group options:
- 'all' (default)
- 'zero_coupon' (SVENY, continuously compounded)
- 'par_yield'(SVENPY, coupon-equivalent)
- 'forward_instantaneous' (SVENF, continuously compounded)
- 'forward_1y' (SVEN1F, coupon-equivalent)
- 'parameters' (BETA0-BETA3, TAU1-TAU2)
Individual columns can also be specified (e.g., 'sveny10,sveny20,beta0'). Used to filter columns after fetching.
start_date: date | None | str
Start date of the data, in YYYY-MM-DD format. Used to filter results after fetching.
end_date: date | None | str
End date of the data, in YYYY-MM-DD format. Used to filter results after fetching.
Data
- standard
- federal_reserve
date: date | str
The date of the data.
beta0: float | None
Level component of the Nelson-Siegel-Svensson model. Represents the long-term asymptotic yield.
beta1: float | None
Slope component of the Nelson-Siegel-Svensson model. Represents the short-term component.
beta2: float | None
First curvature component of the Nelson-Siegel-Svensson model. Represents the medium-term component.
beta3: float | None
Second curvature component of the Nelson-Siegel-Svensson model. Provides additional flexibility for fitting the yield curve.
tau1: float | None
First decay factor of the Nelson-Siegel-Svensson model. Controls the rate of decay for beta1 and beta2 components.
tau2: float | None
Second decay factor of the Nelson-Siegel-Svensson model. Controls the rate of decay for the beta3 component.
sven1f01: float | None
One-year forward rate starting 1 year ahead, coupon-equivalent.
sven1f04: float | None
One-year forward rate starting 4 years ahead, coupon-equivalent.
sven1f09: float | None
One-year forward rate starting 9 years ahead, coupon-equivalent.
svenf01: float | None
Instantaneous forward rate at 1-year horizon, continuously compounded.
svenf02: float | None
Instantaneous forward rate at 2-year horizon, continuously compounded.
svenf03: float | None
Instantaneous forward rate at 3-year horizon, continuously compounded.
svenf04: float | None
Instantaneous forward rate at 4-year horizon, continuously compounded.
svenf05: float | None
Instantaneous forward rate at 5-year horizon, continuously compounded.
svenf06: float | None
Instantaneous forward rate at 6-year horizon, continuously compounded.
svenf07: float | None
Instantaneous forward rate at 7-year horizon, continuously compounded.
svenf08: float | None
Instantaneous forward rate at 8-year horizon, continuously compounded.
svenf09: float | None
Instantaneous forward rate at 9-year horizon, continuously compounded.
svenf10: float | None
Instantaneous forward rate at 10-year horizon, continuously compounded.
svenf11: float | None
Instantaneous forward rate at 11-year horizon, continuously compounded.
svenf12: float | None
Instantaneous forward rate at 12-year horizon, continuously compounded.
svenf13: float | None
Instantaneous forward rate at 13-year horizon, continuously compounded.
svenf14: float | None
Instantaneous forward rate at 14-year horizon, continuously compounded.
svenf15: float | None
Instantaneous forward rate at 15-year horizon, continuously compounded.
svenf16: float | None
Instantaneous forward rate at 16-year horizon, continuously compounded.
svenf17: float | None
Instantaneous forward rate at 17-year horizon, continuously compounded.
svenf18: float | None
Instantaneous forward rate at 18-year horizon, continuously compounded.
svenf19: float | None
Instantaneous forward rate at 19-year horizon, continuously compounded.
svenf20: float | None
Instantaneous forward rate at 20-year horizon, continuously compounded.
svenf21: float | None
Instantaneous forward rate at 21-year horizon, continuously compounded.
svenf22: float | None
Instantaneous forward rate at 22-year horizon, continuously compounded.
svenf23: float | None
Instantaneous forward rate at 23-year horizon, continuously compounded.
svenf24: float | None
Instantaneous forward rate at 24-year horizon, continuously compounded.
svenf25: float | None
Instantaneous forward rate at 25-year horizon, continuously compounded.
svenf26: float | None
Instantaneous forward rate at 26-year horizon, continuously compounded.
svenf27: float | None
Instantaneous forward rate at 27-year horizon, continuously compounded.
svenf28: float | None
Instantaneous forward rate at 28-year horizon, continuously compounded.
svenf29: float | None
Instantaneous forward rate at 29-year horizon, continuously compounded.
svenf30: float | None
Instantaneous forward rate at 30-year horizon, continuously compounded.
svenpy01: float | None
Par yield at 1-year maturity, coupon-equivalent.
svenpy02: float | None
Par yield at 2-year maturity, coupon-equivalent.
svenpy03: float | None
Par yield at 3-year maturity, coupon-equivalent.
svenpy04: float | None
Par yield at 4-year maturity, coupon-equivalent.
svenpy05: float | None
Par yield at 5-year maturity, coupon-equivalent.
svenpy06: float | None
Par yield at 6-year maturity, coupon-equivalent.
svenpy07: float | None
Par yield at 7-year maturity, coupon-equivalent.
svenpy08: float | None
Par yield at 8-year maturity, coupon-equivalent.
svenpy09: float | None
Par yield at 9-year maturity, coupon-equivalent.
svenpy10: float | None
Par yield at 10-year maturity, coupon-equivalent.
svenpy11: float | None
Par yield at 11-year maturity, coupon-equivalent.
svenpy12: float | None
Par yield at 12-year maturity, coupon-equivalent.
svenpy13: float | None
Par yield at 13-year maturity, coupon-equivalent.
svenpy14: float | None
Par yield at 14-year maturity, coupon-equivalent.
svenpy15: float | None
Par yield at 15-year maturity, coupon-equivalent.
svenpy16: float | None
Par yield at 16-year maturity, coupon-equivalent.
svenpy17: float | None
Par yield at 17-year maturity, coupon-equivalent.
svenpy18: float | None
Par yield at 18-year maturity, coupon-equivalent.
svenpy19: float | None
Par yield at 19-year maturity, coupon-equivalent.
svenpy20: float | None
Par yield at 20-year maturity, coupon-equivalent.
svenpy21: float | None
Par yield at 21-year maturity, coupon-equivalent.
svenpy22: float | None
Par yield at 22-year maturity, coupon-equivalent.
svenpy23: float | None
Par yield at 23-year maturity, coupon-equivalent.
svenpy24: float | None
Par yield at 24-year maturity, coupon-equivalent.
svenpy25: float | None
Par yield at 25-year maturity, coupon-equivalent.
svenpy26: float | None
Par yield at 26-year maturity, coupon-equivalent.
svenpy27: float | None
Par yield at 27-year maturity, coupon-equivalent.
svenpy28: float | None
Par yield at 28-year maturity, coupon-equivalent.
svenpy29: float | None
Par yield at 29-year maturity, coupon-equivalent.
svenpy30: float | None
Par yield at 30-year maturity, coupon-equivalent.
sveny01: float | None
Zero-coupon yield at 1-year maturity, continuously compounded.
sveny02: float | None
Zero-coupon yield at 2-year maturity, continuously compounded.
sveny03: float | None
Zero-coupon yield at 3-year maturity, continuously compounded.
sveny04: float | None
Zero-coupon yield at 4-year maturity, continuously compounded.
sveny05: float | None
Zero-coupon yield at 5-year maturity, continuously compounded.
sveny06: float | None
Zero-coupon yield at 6-year maturity, continuously compounded.
sveny07: float | None
Zero-coupon yield at 7-year maturity, continuously compounded.
sveny08: float | None
Zero-coupon yield at 8-year maturity, continuously compounded.
sveny09: float | None
Zero-coupon yield at 9-year maturity, continuously compounded.
sveny10: float | None
Zero-coupon yield at 10-year maturity, continuously compounded.
sveny11: float | None
Zero-coupon yield at 11-year maturity, continuously compounded.
sveny12: float | None
Zero-coupon yield at 12-year maturity, continuously compounded.
sveny13: float | None
Zero-coupon yield at 13-year maturity, continuously compounded.
sveny14: float | None
Zero-coupon yield at 14-year maturity, continuously compounded.
sveny15: float | None
Zero-coupon yield at 15-year maturity, continuously compounded.
sveny16: float | None
Zero-coupon yield at 16-year maturity, continuously compounded.
sveny17: float | None
Zero-coupon yield at 17-year maturity, continuously compounded.
sveny18: float | None
Zero-coupon yield at 18-year maturity, continuously compounded.
sveny19: float | None
Zero-coupon yield at 19-year maturity, continuously compounded.
sveny20: float | None
Zero-coupon yield at 20-year maturity, continuously compounded.
sveny21: float | None
Zero-coupon yield at 21-year maturity, continuously compounded.
sveny22: float | None
Zero-coupon yield at 22-year maturity, continuously compounded.
sveny23: float | None
Zero-coupon yield at 23-year maturity, continuously compounded.
sveny24: float | None
Zero-coupon yield at 24-year maturity, continuously compounded.
sveny25: float | None
Zero-coupon yield at 25-year maturity, continuously compounded.
sveny26: float | None
Zero-coupon yield at 26-year maturity, continuously compounded.
sveny27: float | None
Zero-coupon yield at 27-year maturity, continuously compounded.
sveny28: float | None
Zero-coupon yield at 28-year maturity, continuously compounded.
sveny29: float | None
Zero-coupon yield at 29-year maturity, continuously compounded.
sveny30: float | None
Zero-coupon yield at 30-year maturity, continuously compounded.