Borrar filtros
Borrar filtros

Use Nelson Siegel Parameters

2 visualizaciones (últimos 30 días)
Federico Massetti
Federico Massetti el 22 de Jun. de 2017
Hi everybody, I have a question about the Nelson Siegel function. I've alredy found the NS parameters fitting a series of different bonds but now I need the parameters to calculate other factors. Practically I have: - the 4 Nelson Siegel parameters - 10 discount factors of the nelson siegel curve - 10 "spreads"
I need to add the spreads to the beta_0 parameters and then with this new parameters I need to calculate my "risky discount factor" based on the discount factors mentioned before. In excel there a formula called "NelsonSiegelPrice" that does the exact same thing and I need to replicate that in Matlab.
Many thanks for your help,
Federico

Respuestas (0)

Categorías

Más información sobre Biological and Health Sciences en Help Center y File Exchange.

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by