fitNelsonSiegel

Fit Nelson-Siegel model to bond market data

Description

example

outCurve = fitNelsonSiegel(Settle,Instruments,CleanPrice) fits a Nelson-Siegel model to bond data.

Examples

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Define the bond data and use fininstrument to create FixedBond instrument objects.

 Settle = datetime(2017,9,15);
  Maturity = [datetime(2019,9,15);datetime(2021,9,15);...
      datetime(2023,9,15);datetime(2026,9,7);...
      datetime(2035,9,15);datetime(2047,9,15)];
  
  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];
  
  nInst = numel(CouponRate);
Bonds(nInst,1) = fininstrument.FinInstrument;
for ii=1:nInst
    Bonds(ii) = fininstrument("FixedBond",'Maturity',Maturity(ii),...
        'CouponRate',CouponRate(ii));
end

Use fitNelsonSiegel to create a parametercurve object.

NSModel = fitNelsonSiegel(Settle,Bonds,CleanPrice)
Local minimum possible.

lsqnonlin stopped because the final change in the sum of squares relative to 
its initial value is less than the value of the function tolerance.
NSModel = 
  parametercurve with properties:

              Type: "zero"
            Settle: 15-Sep-2017
       Compounding: -1
             Basis: 0
    FunctionHandle: @(t)fitF(Params,t)
        Parameters: [1.2465e-05 0.0362 0.0903 16.4263]

Input Arguments

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Settlement date, specified as a scalar datetime, serial date number, date character vector, or date string.

Data Types: double | char | string | datetime

Bond instrument objects, specified as an array of bond instruments objects.

Data Types: object

Observed market prices, specified as a vector.

Data Types: double

Output Arguments

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Fitted Nelson-Siegel model, returned as a parametercurve object.

Introduced in R2020a