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Difficulty: Medium
Category: options_pricing
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Topics: nelson_siegel, yield_curve, fixed_income, curve_fitting
The Nelson-Siegel model is a standard method for interpolating yield curves at fixed-income desks. It decomposes observed yields into three economically interpretable factors—level, slope, and curvature—that explain most yield curve variation. For a fixed decay parameter, the model is linear, allowing for rapid calibration to market data via Ordinary Least Squares (OLS). Task Implement the function nelson_siegel_yield_fit(maturities: list, yields: list, lam: float) to fit the Nelson-Siegel mode
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