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Estimation of Nelson-Siegel and Svensson Models

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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

Comments and Ratings (9)

Adie Malicsi

How to use this in semi-annual coupon bonds?Thanks.

Adie Malicsi

Nina Morenko

mazhiru8397

Thanks for your sharing.

Yu Zhang

xiaoye Cheng

Thanks for your sharing.

Rita

Rita (view profile)

Thanks a lot

Henry Zhu

Thanks for your sharing.

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