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Evaluate Nelson-Siegel function

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Evaluate Nelson-Siegel function

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30 Dec 2007 (Updated )

(or fit one to a yield curve)

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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)
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Comments and Ratings (8)
10 Apr 2014 Tornike Mosiashvili

Hello, Could you please let me know how the nelsonsse and lsbetas work?

Thanks in advance.

22 Apr 2013 Yirong Zhu  
26 Oct 2011 aasifalimd  
29 Apr 2011 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?

20 Jul 2009 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...

21 Jul 2008 Antonio Juambeltz

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

29 Jan 2008 Wu-Fu Han  
01 Jan 2008 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).

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