  The term structure of interest rates (yield curve) is a critical facet of
financial analytics, impacting various investment and risk management
decisions. It is used by the central bank to conduct and monitor its monetary
policy. That instrument reflects the anticipation of inflation and the risk by
investors. The rates reported on yield curve are the cornerstone of valuation
of all assets. To provide such tool for Burundi financial market, we collected
the auction reports of treasury securities from the website of the Central Bank
of Burundi. Then, we computed the zero-coupon rates, and estimated actuarial
rates of return by applying the Nelson-Siegel and Svensson models. This paper
conducts a rigorous comparative analysis of these two prominent parametric
yield curve models and finds that the Nelson-Siegel model is the optimal choice
for modeling the Burundian yield curve. The findings contribute to the body of
knowledge on yield curve modeling, enhancing its precision and applicability in
financial markets. Furthermore, this research holds implications for investment
strategies, risk management, second market pricing, financial decision-making,
and the forthcoming establishment of the Burundian stock market.
