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Yield Curves

Bootstrap yield curves from market data, estimate parameters for yield curve models

The yield curve shows the relationship between the interest rate and the time to maturity for a given borrower in a given currency. This toolbox provides functionality to fit yield curves to market data using parametric fitting models and bootstrapping, estimate parameters and analyze different type of interest-rate curves.

  • Bootstrap from Market Data
    Bootstrap IRDataCurve object from market data and analyze zero curve
  • Estimate Model Parameters
    Estimate parameters of IRFunctionCurve object for Nelson-Siegel, Svensson, and smoothing spline yield curve models and analyze curve models

Featured Examples

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