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

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