Estimation of Nelson-Siegel and Svensson Models

Versione 1.0.0.0 (419 KB) da Kamil Kladivko
Estimation of zero yield curve from coupon bond prices by Nelson-Siegel or Svensson model.
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Aggiornato 25 giu 2012

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A robust and universal algorithm:
1. "Multistart" method to find the best fit
2. Possible to include LIBOR type rates.
3. Weighted price or yield-to-maturity minimization.
4. Calculates a variaety of error measures.

More details: Kladivko Kamil (2010). The Czech Treasury Yield Curve from 1999 to the Present, Czech Journal of Economics and Finance, 60(4): 307-335

Cita come

Kamil Kladivko (2025). Estimation of Nelson-Siegel and Svensson Models (https://it.mathworks.com/matlabcentral/fileexchange/37301-estimation-of-nelson-siegel-and-svensson-models), MATLAB Central File Exchange. Recuperato .

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Versione Pubblicato Note della release
1.0.0.0