Read the curve.
Model the path.
Size the risk.
Institutional-grade Nelson-Siegel yield-curve modelling, built for boutique and mid-size asset managers who need transparent, reproducible analytics — not a black box.
Level · Slope · Curvature
Illustrative Nelson-Siegel yield curve.
Four connected models, one workflow
Decompose observed curves into three factors, project those factors forward under competing scenarios, translate the paths into a full return distribution for any duration, then build a Markowitz-optimal portfolio across durations.
Fit the yield curve
Recover the Nelson-Siegel level, slope and curvature betas from market quotes by ordinary least squares, with fit diagnostics.
Open model →Forecast the factors
Project betas forward under five drift regimes — random walk, autoregressive, glide-to-equilibrium and mean reversion — with Monte-Carlo fans.
Open model →Calculate scenario returns
Turn simulated curves into holding-period returns for a chosen duration: expected return, volatility, percentiles and Value-at-Risk.
Open model →Optimize the portfolio
Price a set of bond durations off the same simulated curve and solve the Markowitz efficient frontier across them.
Open model →Simulate portfolio credit risk
A separate discipline from SAA: upload positions and a correlation matrix, then simulate rating migration and default across counterparties — decomposed by issuer and by risk type, with Expected Credit Loss and CVaR at any confidence level.
SOFR futures & options Value-at-Risk
Upload a SOFR options/futures book and market data: fit a Nelson-Siegel factor model, simulate rates forward, and compute VaR/CVaR at the position, strategy, trader and portfolio level under base and stress scenarios.
Designed for how EM desks actually work
Every assumption is an explicit, editable input. Every figure is reproducible. Publish house views and research to your team from the admin desk.