View License

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video

Highlights from
Evaluate Nelson-Siegel function

4.8 | 8 ratings Rate this file 14 Downloads (last 30 days) File Size: 1.86 KB File ID: #18160 Version: 1.0
image thumbnail

Evaluate Nelson-Siegel function



30 Dec 2007 (Updated )

(or fit one to a yield curve)

| Watch this File

File Information

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)
MATLAB Search Path
Tags for This File   Please login to tag files.
Please login to add a comment or rating.
Comments and Ratings (11)
08 Mar 2016 xiaoshi zhu

30 Apr 2015 yi huo

yi huo (view profile)

I have been read the Nelson Siegel Model article,and I think I can realize the model,and I attempte to write program to fit it

19 Sep 2014 Vincent

thx in advance

10 Apr 2014 Tornike Mosiashvili

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

Thanks in advance.

Comment only
22 Apr 2013 Yirong Zhu

26 Oct 2011 aasifalimd

29 Apr 2011 Qin

Qin (view profile)

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

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

is this part has some mistakes?

20 Jul 2009 rishad schaefer

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.

Comment only
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).

Comment only
04 Apr 2016 1.0


Contact us