  The term structure of interest rates or yield curve is a function relating
the interest rate with its own term. Nonlinear regression models of
Nelson-Siegel and Svensson were used to estimate the yield curve using a sample
of historical data supplied by the National Stock Exchange of Costa Rica. The
optimization problem involved in the estimation process of model parameters is
addressed by the use of four well known combinatorial optimization
metaheuristics: Ant colony optimization, Genetic algorithm, Particle swarm
optimization and Simulated annealing. The aim of the study is to improve the
local minima obtained by a classical quasi-Newton optimization method using a
descent direction. Good results with at least two metaheuristics are achieved,
Particle swarm optimization and Simulated annealing. Keywords: Yield curve,
nonlinear regression, Nelson-
