[R-sig-finance] fBonds svensson fitting

Thomas Steiner finbref.2006 at gmail.com
Mon Jan 23 17:02:57 CET 2006

Dear Kris,
excellent, thank you.

> r = nlm(f=nelson,p=c(1,10,10,10),y=fwdcrv,steptol=1e-10,iterlim=500)

Where is the difference to nls? I tried something like

nls(formula=yc$yield~nelsonsiegel(yc$time,init), data = yc, start=init)

where yc is my dataframe with time and forward rates.
Anyway, even good starting estimates seem always to produce a singular
gradient matrix.

> Note svensson is double humped so you have an additional parameter (
> x[5] )

I think Svensson is 6-dimensional.
Some interpretations of the parameters of eg Nelson-Siegel can be used
to get better initial estimates. But this is as well mentioned in the
paper (pdf) you linked.

> Hope this helps,

Yes, a lot. BTW: How do you calculate forward rates out of SWAP (Libor) rates?


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