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Modeling Yield Curve With Nelson & Siegel

by Wilson Amoretty Palmeiro

 

11 Jul 2013 (Updated 11 Jul 2013)

We try to modeling a DE data 2013.

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Description

We first, extract market Data (85 samples for Bond and 10 for Repo) in MTS Indices.
Second, we organize the data, given time to maturity.
Then, we use "parsimonious" to modeling the yield curve.

Required Products Financial Instruments Toolbox
MATLAB release MATLAB 8.1 (R2013a)
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Updates
11 Jul 2013

We derive the the new graph.

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