Hi Brian,

thanks for your reply. Could you kindly tell me is there any package that I
can use to calculate unsmoothed Fama-Bliss Yields from coupon bond prices?

Yes, I have not tried termstrc package. It seems that it can do all the jobs
that I try to do.


Kindest

Yin




On Sat, Mar 13, 2010 at 8:33 PM, Brian G. Peterson <brian@braverock.com>wrote:

> Yin ZHANG wrote:
>
>> 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.
>>
>
> As I told you before, the spot yield on a bond, given it's observed price
> and known maturity, is simple algebra.  R can do this easily, with or
> without the aid of a package.  You don't need a 'toolbox' to calculate these
> things, or to graph the resulting yield curve, fitted or not.  There are
> tools for doing this (see below) if you want them.
>
> (there's absolutely no point in fitting a yield curve at this stage if the
> output of the fitted model isn't what you want)
>
> You aren't going to get past the step of converting spot prices to yields
> on each series.  You have to do it to get what you want.  Write a function,
> make it easily repeatable, or use one of the packages.
>
>
> 2.Then I use the fBonds package function NelsonSiegel function to get the
>> parameters of the Nelson Siegel Model.
>>
>
> The input to every Nelson Siegel method that I'm aware of is a set of spot
> yields and maturities. The output is a fitted yield curve and the parameters
> of the stochastic term structure model.
>
>
> The packages I'm aware of for doing all this in R are
>
> 'YieldCurve', which I mentioned in my previous email.
>
> 'fBonds' which you are already familiar with.
>
> 'RQuantLib' which as discussed only returns the fitted curve, and
>
> 'termstrc' which contains a setting for using *prices* to calculate the
> yield and then fit the model.
> http://cran.r-project.org/web/packages/termstrc/index.html
> http://r-forge.r-project.org/projects/termstrc/
>
> The only thing I can think of is that you haven't tried termstrc, otherwise
> I'm not sure what you've done here except to re-ask the same question.
>
> In the interests of exposition and to aid future searches, all of these
> packages are mentioned in the CRAN Finance Task View:
>
> http://cran.r-project.org/web/views/Finance.html
>
> Regards,
>
>  - Brian
>
>
> 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]]
>>>>>>
>>>>>> _______________________________________________
>>>>>> R-SIG-Finance@stat.math.ethz.ch mailing list
>>>>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>>>>>> -- Subscriber-posting only. If you want to post, subscribe first.
>>>>>> -- Also note that this is not the r-help list where general R
>>>>>>
>>>>> questions
>>>
>>>>  should go.
>>>>>>
>>>>>>
>>>>
>>        [[alternative HTML version deleted]]
>>
>> _______________________________________________
>> R-SIG-Finance@stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>>
>
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>

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