[R-SIG-Finance] Curve fitting the South African yield curve

Joshua Ulrich josh.m.ulrich at gmail.com
Sun May 29 04:18:45 CEST 2011

Hi Tom,

On Sat, May 28, 2011 at 4:43 AM, Thomas Browne <thomas.browne at mac.com> wrote:
> Hi,
> I am looking to do historic cheap/dear analysis on the South African
> bond and IRS yield curves. What I'd like to do is fit a curve each day
> and see what the historic deviation from that fitted curve each bond
> has exhibited. The curve I guess should not be a cubic spline type
> since that would go through all the bonds). I want a fairly simple
> model because to start with and I've heard of Nelson-Siegel. How would
> I go about doing this using R? Is there a library which could help?
A search for "Nelson Siegel" on www.rseek.org returned 3 packages on
the first page.
1) YieldCurve
2) fBonds
3) termstruc

I've used YieldCurve.  I've never used fBonds.  I looked at termstruc
but I needed to modify some of the functions and it was easier to
understand the YieldCurve code (it's very simple and straight

> As I'm just starting out I don't really want to have to bootstrap the
> zero curve first (too much work! Unless there's help in R for that
> too!). I'd just like to fit a fairly simple curve which makes sense to
> the YTM versus Mduration (or PV01) scatterplot.
> Thanks for any help.
> Tom

Hope that helps,
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com

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