Estimation of Nelson-Siegel and Svensson Models

Version 1.0.0.0 (419 KB) by Kamil Kladivko
Estimation of zero yield curve from coupon bond prices by Nelson-Siegel or Svensson model.
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Updated 25 Jun 2012

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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

Cite As

Kamil Kladivko (2024). Estimation of Nelson-Siegel and Svensson Models (https://www.mathworks.com/matlabcentral/fileexchange/37301-estimation-of-nelson-siegel-and-svensson-models), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14
Compatible with any release
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Version Published Release Notes
1.0.0.0