필터 지우기
필터 지우기

Use Nelson Siegel Parameters

조회 수: 2 (최근 30일)
Federico Massetti
Federico Massetti 2017년 6월 22일
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

답변 (0개)

카테고리

Help CenterFile 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!

Translated by