Evaluate Nelson-Siegel function

(or fit one to a yield curve)

Description

Functions NELSONFUN and NELSONFIT evaluate and fit (with non-linear least-squares) the Nelson-Siegel function, a popular yield-curve approximation device.

• MATLAB release: MATLAB 7.2 (R2006a)

[Dimitri Shvorob]

Note NELSONFIT's default (and easy-to-change) behavior of searching for tau in (0,10) and adjust the range if measuring time in days or months. (The Nelson-Sielgel function is homogeneous of degree 0 in x/tau).

[Wu-Fu Han]

 

[Antonio Juambeltz]

I expect this is a very interesting point for us in the Ministry of Finance in Uruguay.

[rishad schaefer]

Hello,
Great work...
Just a question: Do you know what scilab function ( used with wich parameters) could replace your fminbnd in order to get the fit.
I just can t get the propper algorithm on scilab...

[Qin]

is there something wrong in the code?
I cannot run it.
 function[f] = nelsonsse(tau)
    [b,f] = lsbetas(tau); %#ok
    end

    function[b,varargout] = lsbetas(tau)
    i = x(:)/tau;

is this part has some mistakes?

[aasifalimd]