about Nelson-Siegel model fitting

I am wondering whether I can get the parameters of the Nelson-Siegel model
directly from this FittedBondCurve method.

Also, if possible, could you kindly provide a specific example for the
following bonds price dataset that I have attached with this mail?

My primary aim is to get the Nelson-Siegel model parameters. Also, I want
pricing errors of the fitted curve, such as sum of price errors squared.

Thanks a lot in advance.

Kindest

Yin







On Sat, Mar 6, 2010 at 9:58 PM, Khanh Nguyen <knguyen at cs.umb.edu> wrote:

You can look into RQuantLib

-k

On Sat, Mar 6, 2010 at 8:23 AM, Yin ZHANG <fly1985 at gmail.com> wrote:

I am trying to fit the bond market data to the Nelson-Siegel term
structure
model. I have a series of bond price data, most of them are coupon
bonds.
According to the original Nelson-Siegel model setting, my objective is
trying to get the paremeters that minimize the weighted/unweighted ?sum
of
price errors squared.

So, is there any simple way in R or any package that can do this job? I
do
not know any about non-linear optimization, so what I need is an easy to
use
package/code that can do the job.


thanks a lot in advance.


Yin

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