fitSvensson
Fit Svensson model to bond market data
Description
fits a Svensson model to bond data.outCurve
= fitSvensson(Settle
,Instruments
,CleanPrice
)
After creating a parametercurve
object for
outCurve
, you can use the associated object functions discountfactors
,
zerorates
, and
forwardrates
.
Examples
Input Arguments
Name-Value Arguments
Output Arguments
Algorithms
A similar model to the Nelson-Siegel is the Svensson model, which adds two additional parameters to account for greater flexibility in the term structure. This model proposes that the forward rate can be modeled with the following form:
As above, this can be integrated to derive an equation for the zero curve:
References
[1] Nelson, C.R., Siegel, A.F. “Parsimonious modelling of yield curves.” Journal of Business. Vol. 60, 1987, pp 473–89.
[2] Svensson, L.E.O. “Estimating and interpreting forward interest rates: Sweden 1992-4.” International Monetary Fund, IMF Working Paper, 1994/114.
[3] Fisher, M., Nychka, D., Zervos, D. “Fitting the term structure of interest rates with smoothing splines.” Board of Governors of the Federal Reserve System, Federal Reserve Board Working Paper 1995-1.
[4] Anderson, N., Sleath, J. “New estimates of the UK real and nominal yield curves.” Bank of England Quarterly Bulletin, November, 1999, pp 384–92.
[5] Waggoner, D. “Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices.” Federal Reserve Board Working Paper 1997–10.
[6] “Zero-coupon yield curves: technical documentation.” BIS Papers No. 25, October 2005.
[7] Bolder, D.J., Gusba, S. “Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada.” Working Papers 2002–29, Bank of Canada.
[8] Bolder, D.J., Streliski, D. “Yield Curve Modelling at the Bank of Canada.” Technical Reports 84, 1999, Bank of Canada.