fitSvensson

Fit Svensson model to bond market data

Since R2020a

Syntax

``outCurve = fitSvensson(Settle,Instruments,CleanPrice)``
``outCurve = fitSvensson(___,Name=Value)``

Description

example

````outCurve = fitSvensson(Settle,Instruments,CleanPrice)` fits a Svensson model to bond data.After creating a `parametercurve` object for `outCurve`, you can use the associated object functions `discountfactors`, `zerorates`, and `forwardrates`. ```

example

````outCurve = fitSvensson(___,Name=Value)` fits a Svensson model to bond data using optional name-value arguments for `Basis`, `x0`, `lb`, and `ub`.```

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 `fitSvensson` to create a `parametercurve` object.

`SvenModel = fitSvensson(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. ```
```SvenModel = parametercurve with properties: Type: "zero" Settle: 15-Sep-2017 Compounding: -1 Basis: 0 FunctionHandle: @(t)fitF(Params,t) Parameters: [3.3048e-08 0.0197 0.0624 0.1391 1.3563 11.7741] ```

Input Arguments

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

To support existing code, `fitSvensson` also accepts serial date numbers as inputs, but they are not recommended.

Bond instrument objects, specified as a scalar bond object or an array of bond instrument objects using `FixedBond`.

Data Types: `object`

Observed market prices, specified as a vector.

Data Types: `double`

Name-Value Arguments

Specify optional pairs of arguments as `Name1=Value1,...,NameN=ValueN`, where `Name` is the argument name and `Value` is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Example: ```NSModel = fitSvensson(Settle,Bonds,CleanPrice,Basis=4)```

Since R2024a

Day count basis, specified as `Basis` and a scalar or a `NINST`-by-`1` matrix.

• 0 — actual/actual

• 1 — 30/360 (SIA)

• 2 — actual/360

• 3 — actual/365

• 4 — 30/360 (PSA)

• 5 — 30/360 (ISDA)

• 6 — 30/360 (European)

• 7 — actual/365 (Japanese)

• 8 — actual/actual (ICMA)

• 9 — actual/360 (ICMA)

• 10 — actual/365 (ICMA)

• 11 — 30/360E (ICMA)

• 12 — actual/365 (ISDA)

• 13 — BUS/252

Data Types: `double`

Since R2024a

Initial estimate, specified as `x0` and a vector.

Data Types: `double`

Since R2024a

Lower bound, specified as `lb` and a vector.

Data Types: `double`

Since R2024a

Upper bound, specified as `ub` and a vector.

Data Types: `double`

Output Arguments

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Fitted Svensson model, returned as a `parametercurve` object.

Version History

Introduced in R2020a

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