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Estimate Model Parameters

Estimate parameters of IRFunctionCurve object for Nelson-Siegel, Svensson, and smoothing spline yield curve models and analyze curve models

For information about using the IRFunctionCurve object, see Fitting Interest-Rate Curve Functions.

Objects

IRFunctionCurveConstruct interest-rate curve object from function handle or function and fit to market data
IRFitOptionsConstruct specific options for fitting interest-rate curve object

Functions

getForwardRatesGet forward rates for input dates for IRFunctionCurve
getZeroRatesGet zero rates for input dates for IRFunctionCurve
getDiscountFactorsGet discount factors for input dates for IRFunctionCurve
getParYieldsGet par yields for input dates for IRFunctionCurve
toRateSpecConvert IRFunctionCurve object to RateSpec
fitNelsonSiegelFit Nelson-Siegel function to bond market data
fitSvenssonFit Svensson function to bond market data
fitSmoothingSplineFit smoothing spline to bond market data
fitFunctionCustom fit interest-rate curve object to bond market data

Examples and How To

Concepts