How do I get Svensson parameters

Hi,

How do I get Svensson parameters from fitSvensson function?

Thank you,

Nuno

Answer 1

[Luiz Fernando Carnot R de Almeida]

Nuno,

You can retrieve these parameters through the attribute "Parameters" of the model. Check the code presented below (taken from Mathworks' URL http://www.mathworks.com/help/fininst/fitsvenssonirfunctioncurve.html)

Settle = repmat(datenum('30-Apr-2008'),[6 1]);
Maturity = [datenum('07-Mar-2009');datenum('07-Mar-2011');...
datenum('07-Mar-2013');datenum('07-Sep-2016');...
datenum('07-Mar-2025');datenum('07-Mar-2036')];
CleanPrice = [100.1;100.1;100.8;96.6;103.3;96.3];
CouponRate = [0.0400;0.0425;0.0450;0.0400;0.0500;0.0425];
Instruments = [Settle Maturity CleanPrice CouponRate];
PlottingPoints = datenum('07-Mar-2009'):180:datenum('07-Mar-2036');
Yield = bndyield(CleanPrice,CouponRate,Settle,Maturity);
SvenssonModel = IRFunctionCurve.fitSvensson('Zero',datenum('30-Apr-2008'),Instruments);
SvenssonModel.Parameters
ans =
      0.0002    3.7616  -24.5489   34.3165   10.8867   11.9282

What I can't tell you (I am trying to figure it out) is what parameters corresponds to each of the Betas and Taus.

Merry Christmas!

Fernando

[Mabelle]

Hi, plz i am having the same problem and i tried typing the previous code but i get the following message: ??? No appropriate method, property, or field Parameters for class IRFunctionCurve.

Any ideas? Thank you!

[Gokturk]

Hi,I used the same example and tried to get the parameters. But I got the same error. 'No appropriate method, property, or field Parameters for class IRFunctionCurve'. Can you pls help me

Answer 2

[Kathy]

Fernando, the order of the parameters is: [b1 b2 b3 b4 t1 t2]