Message-ID: <2871c9e11003071256k2c292d8fx3b51483d5270f750@mail.gmail.com>
Date: 2010-03-07T20:56:56Z
From: Khanh Nguyen
Subject: about Nelson-Siegel model fitting
In-Reply-To: <57f92e091003070339t47452afbt66abe380036ba693@mail.gmail.com>
FittedBondCurve only returns curve data, you can not get the
parameters of the model.
-k
> 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
>> >
>> > ? ? ? ?[[alternative HTML version deleted]]
>> >
>> > _______________________________________________
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>> >
>
>