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updated 22 days ago

Modeling Yield Curve With Nelson & Siegel by Wilson Amoretty Palmeiro

We try to modeling a DE data 2013. (nelsonsiegel, yield curve, finance)

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updated 1 year 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. (interpolation, nelson siegel, yield curve)

NScurve(Params, Tau, Model)

NSerror.m

NSest(Bonds, ShortRates, Model, Optimization)

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updated 2 years ago

Natural Cubic Splines Yield Curve by petar radkov

Fitting of smooth yield curve (finance, statistics, natural cubic spline)

CurveFittingBestFitSplines.m

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updated 2 years ago

Bootstrapping Yield Curve by Rodolphe Sitter

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

Bootstrap( Bond, Schedule, Solver, Graph )

BuildDiscountCurve(CashFlowSchedule, ForwardCurve )

BuildParYieldCurve( CashFlowSchedule, DiscountCurve )

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