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updated 4 months ago by Rick

Stochastic State-Space Modeling in Finance (yield curve, statespace, kalman filter)

Using the Kalman Filter to Estimate and Forecast the Dieb...

Example_DieboldLi(param, yield, maturity)

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updated 1 year 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 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)


NSest(Bonds, ShortRates, Model, Optimization)

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updated 3 years ago

Natural Cubic Splines Yield Curve by petar radkov

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


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updated 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)


BuildDiscountCurve(CashFlowSchedule, ForwardCurve )

BuildParYieldCurve( CashFlowSchedule, DiscountCurve )

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