[R-sig-finance] fBonds svensson fitting
Krishna Kumar
kriskumar at earthlink.net
Sun Jan 22 23:06:59 CET 2006
Nelson-siegel and svensson are easy to fit (see
http://www.bankofcanada.ca/en/res/tr/1999/tr84.pdf)
I used the following test data
> fwdcrv
tenor fwd
1 1 1.10000
2 2 1.11927
3 3 1.13754
4 4 1.15735
5 5 1.22402
6 6 1.26254
7 7 1.33145
8 8 1.40115
9 9 1.47255
10 10 1.62928
11 11 1.69269
12 12 1.81135
And now in R one could do the following:
-------------------------------
nelson<-function(x,y=x)
{
nelson<- sum((y[,2]-(x[1] + (x[2] + x[3]* y[,1])* exp(-x[4]* y[,1])))^2)
}
r = nlm(f=nelson,p=c(1,10,10,10),y=fwdcrv,steptol=1e-10,iterlim=500)
$minimum
[1] 0.6461518
$estimate
[1] 1.361599 8.683838 8.683784 36.325287
$gradient
[1] 1.431076e-08 0.000000e+00 0.000000e+00 0.000000e+00
$code
[1] 1
$iterations
[1] 139
Note svensson is double humped so you have an additional parameter (
x[5] ) and so modify the function suitably.
Hope this helps,
Kris
Thomas Steiner wrote:
>I'd like to calculate forward rates from swap rates and then fit these
>fwd-rates to a Svensson family and see how parameters envolve over
>time (consistency).
>I've read of the R-package fBonds, which could help me a lot. It is
>not availible at CRAN or www.metrics.org Does anybody know about its
>current state? Is it available to the public somewhere? Are there any
>other packages that could help me?
>Thanks for suggestions, help and hints
>Thomas
>
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