Functions NELSONFUN and NELSONFIT evaluate and fit (with non-linear least-squares) the Nelson-Siegel function, a popular yield-curve approximation device.
Dimitri Shvorob (2020). Evaluate Nelson-Siegel function (https://www.mathworks.com/matlabcentral/fileexchange/18160-evaluate-nelson-siegel-function), MATLAB Central File Exchange. Retrieved .
I have been read the Nelson Siegel Model article,and I think I can realize the model,and I attempte to write program to fit it
thx in advance
Hello, Could you please let me know how the nelsonsse and lsbetas work?
Thanks in advance.
is there something wrong in the code?
I cannot run it.
function[f] = nelsonsse(tau)
[b,f] = lsbetas(tau); %#ok
function[b,varargout] = lsbetas(tau)
i = x(:)/tau;
is this part has some mistakes?
Just a question: Do you know what scilab function ( used with wich parameters) could replace your fminbnd in order to get the fit.
I just can t get the propper algorithm on scilab...
I expect this is a very interesting point for us in the Ministry of Finance in Uruguay.
Note NELSONFIT's default (and easy-to-change) behavior of searching for tau in (0,10) and adjust the range if measuring time in days or months. (The Nelson-Sielgel function is homogeneous of degree 0 in x/tau).