There are numerous reasons for extracting the driving factors of yield curve dynamics reflecting the real economic activity.The most important motivation is to forecast basic economic indicators which play a crucial role in monetary policy settings by central banks and the borrowing policy of governments.Therefore, we propose a yield curve generator capable of extracting the state variables driving the dynamics of the default-free and/or defaultable bonds.Our objective is to extend the methodology proposed by Jamshidian and Zhu (1997) in a way that the original state variables are transformed to a new set of state variables via Independent Component Analysis (ICA) instead of Principal Component Analysis . Main advantage of ICA is to extract components that are statistically independent, which makes the generation more efficient.One nice feature of this method is its ability to extract non-Gaussian factors due to the fact that the estimation requires non-Gaussian independent components.