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?
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
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