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updated 2 years ago

Estimation of Nelson-Siegel and Svensson Models by Kamil Kladivko

Estimation of zero yield curve from coupon bond prices by Nelson-Siegel or Svensson model. (finance, nelson siegel, svensson)

NScurve(Params, Tau, Model)

NSerror.m

NSest(Bonds, ShortRates, Model, Optimization)

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updated 3 years ago

Amortization schedule with variable interest rates by Guido Travaglini

Computes & optionally saves & plots some variables, like interest paid and balance outstanding. (financial tb, amortization schedule, interest rates)

amorvar(K0,Rates,Prop,Plop,Freq,Comp)

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updated almost 4 years ago

Bootstrapping Yield Curve by Rodolphe Sitter

Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results. (bootstrap, bootstrapping, bond)

Bootstrap.m

BuildDiscountCurve(CashFlowSchedule, ForwardCurve )

BuildParYieldCurve( CashFlowSchedule, DiscountCurve )

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updated 4 years ago

Kalman Filter Application two factor CIR by Nils Delava

Estimates the parameters of the two factor CIR model on the UK German, and US term structures. (finance, cir, term structure)

MinimizeLLtwoCIR

sumll=LLtwoCIR(para,Y, tau, nrow, ncol)

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updated 4 years ago

Kalman Filter Application CIR by Nils Delava

Estimates the parameters of the CIR model on a generated term structure (finance, cir, term structure)

[Rt]=RateSimCIR(theta,kappa,sigma,lambda,dt,ratestart,mon...

[para, sumll]=MinimizeLLRateSimCIR()

sumll=LLoneCIR(para,Y, tau, nrow, ncol)

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