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Estimation of Nelson-Siegel and Svensson Models



Estimation of zero yield curve from coupon bond prices by Nelson-Siegel or Svensson model.

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A robust and universal algorithm:
1. "Multistart" method to find the best fit
2. Possible to include LIBOR type rates.
3. Weighted price or yield-to-maturity minimization.
4. Calculates a variaety of error measures.

More details: Kladivko Kamil (2010). The Czech Treasury Yield Curve from 1999 to the Present, Czech Journal of Economics and Finance, 60(4): 307-335

Required Products Optimization Toolbox
MATLAB release MATLAB 7 (R14)
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Comments and Ratings (4)
21 Apr 2015 Yu Zhang  
08 Jun 2014 xiaoye Cheng

Thanks for your sharing.

28 Apr 2014 Rita

Rita (view profile)

Thanks a lot

13 Sep 2012 Henry Zhu

Thanks for your sharing.

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