Hi all,

My problem:

What I have: traded bond prices, along with their coupon/maturity
sprcifications
What I want to do: get the NelsonSiegel parameters for the fitted yield
curve

What I am doing:

1. I use the fixed income toolbox within Matlab 2008b to get the fitted
curve data( it only provides the curve, but no NelsonSiegel parameters).
i.e., Matlab only outputs the spot/forward yield you want in certain
maturities.

2.Then I use the fBonds package function NelsonSiegel function to get the
parameters of the Nelson Siegel Model.


It works.  But as all of you can see, it is not computational efficient, and
theoretically not 100% accurate. But I am wondering is there any better way?












On Mon, Mar 8, 2010 at 4:56 AM, Khanh Nguyen <knguyen@cs.umb.edu> wrote:

> FittedBondCurve only returns curve data, you can not get the
> parameters of the model.
>
> -k
>
> > I am wondering whether I can get the parameters of the Nelson-Siegel
> model
> > directly from this FittedBondCurve method.
> >
> > Also, if possible, could you kindly provide a specific example for the
> > following bonds price dataset that I have attached with this mail?
> >
> > My primary aim is to get the Nelson-Siegel model parameters. Also, I want
> > pricing errors of the fitted curve, such as sum of price errors squared.
> >
> > Thanks a lot in advance.
> >
> > Kindest
> >
> > Yin
> >
> >
> >
> >
> >
> >
> >
> > On Sat, Mar 6, 2010 at 9:58 PM, Khanh Nguyen <knguyen@cs.umb.edu> wrote:
> >>
> >> You can look into RQuantLib
> >>
> >> -k
> >>
> >> On Sat, Mar 6, 2010 at 8:23 AM, Yin ZHANG <fly1985@gmail.com> 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.
> >> >
> >> >
> >> > thanks a lot in advance.
> >> >
> >> >
> >> > Yin
> >> >
> >> >        [[alternative HTML version deleted]]
> >> >
> >> > _______________________________________________
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> >> > should go.
> >> >
> >
> >
>

	[[alternative HTML version deleted]]

