How do I get Svensson parameters
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Hi,
How do I get Svensson parameters from fitSvensson function?
Thank you,
Nuno
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Respuestas (2)
Luiz Fernando Carnot R de Almeida
el 23 de Dic. de 2013
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
2 comentarios
Mabelle
el 16 de Mzo. de 2014
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
el 26 de Mzo. de 2014
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
Kathy
el 9 de Jun. de 2017
Fernando, the order of the parameters is: [b1 b2 b3 b4 t1 t2]
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