Use Nelson Siegel Parameters
조회 수: 2 (최근 30일)
이전 댓글 표시
Hi everybody, I have a question about the Nelson Siegel function. I've alredy found the NS parameters fitting a series of different bonds but now I need the parameters to calculate other factors. Practically I have: - the 4 Nelson Siegel parameters - 10 discount factors of the nelson siegel curve - 10 "spreads"
I need to add the spreads to the beta_0 parameters and then with this new parameters I need to calculate my "risky discount factor" based on the discount factors mentioned before. In excel there a formula called "NelsonSiegelPrice" that does the exact same thing and I need to replicate that in Matlab.
Many thanks for your help,
Federico
댓글 수: 0
답변 (0개)
참고 항목
카테고리
Help Center 및 File Exchange에서 Biological and Health Sciences에 대해 자세히 알아보기
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!