[R-SIG-Finance] about Nelson-Siegel model fitting

Brian G. Peterson brian at braverock.com
Sat Mar 6 14:46:23 CET 2010


Yin ZHANG 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.
>   
As is often the case, a simple search would have yielded the answer to 
this question:

RSiteSearch("Nelson-Siegel")

http://finzi.psych.upenn.edu/R/library/YieldCurve/html/Nelson.Siegel.html

Please search before posting.

   - Brian



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