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Estimation of Nelson-Siegel and Svensson Models

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Estimation of Nelson-Siegel and Svensson Models


Kamil Kladivko (view profile)


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 (8)
27 Aug 2016 Adie Malicsi

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

14 May 2016 Adie Malicsi

30 Apr 2016 Nina Morenko

11 Jan 2016 mazhiru8397

Thanks for your sharing.

Comment only
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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