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Nelson and Siegel approach which is also used by National Stock Exchange for estimation of the zero coupon yield curve on daily basis has been the most popular parametric model used for the estimation of term structure because of fewer number of parameters involved in the model that need to be determined.
There are six modules each one explaining a relevant area: Module 1 Asset/Liability Management Building Blocks Module 2 Gap Analysis Module 3 Simulation Module 4 Duration Appendix A: Strategies for Interest Rate Risk Management Appendix B: Computation of Duration using Zero Coupon Yield Curve Module 5 Value at Risk Module 6 Implementing Asset/Liability Management Strategy Appendix A: How to Audit an ALM Model Appendix B: ALM Software Packages For more information visit http://www.