Yield curve estimation models with real market data implementation and performance observation

Sammanfattning: It always exists different methods/models to build a yield curve from a set of observed market rates even when the curve completely reproduces the price of the given instruments. To create an accurate and smooth interest rate curve has been a challenging all the time. The purpose of this thesis is to use the real market data to construct the yield curves by the bootstrapping method and the Smith Wilson model in order to observe and compare the performance ability between the models. Furthermore, the extended Nelson Siegel model is introduced without implementation. Instead of implementation I compare the ENS model and the traditional bootstrapping method from a more theoretical perspective in order to perceive the performance capabilities of them.