Modeling Yield Curve With Nelson & Siegel
Version 1.1.0.0 (49.3 KB) by
Wilson Amoretty Palmeiro
We try to modeling a DE data 2013.
We first, extract market Data (85 samples for Bond and 10 for Repo) in MTS Indices.
Second, we organize the data, given time to maturity.
Then, we use "parsimonious" to modeling the yield curve.
Cite As
Wilson Amoretty Palmeiro (2026). Modeling Yield Curve With Nelson & Siegel (https://www.mathworks.com/matlabcentral/fileexchange/42586-modeling-yield-curve-with-nelson-siegel), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
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R2013a
Compatible with any release
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- Computational Finance > Financial Toolbox > Price and Analyze Financial Instruments >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Yield Curves >
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