fitNelsonSiegel

Fit Nelson-Siegel model to bond market data

Since R2020a

Syntax

outCurve = fitNelsonSiegel(Settle,Instruments,CleanPrice)

Description

outCurve = fitNelsonSiegel(Settle,Instruments,CleanPrice) fits a Nelson-Siegel model to bond data.

Examples

Fit Nelson-Siegel Model to Bond Market Data

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 fitNelsonSiegel to create a parametercurve object.

NSModel = fitNelsonSiegel(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.

NSModel = 
  parametercurve with properties:

              Type: "zero"
            Settle: 15-Sep-2017
       Compounding: -1
             Basis: 0
    FunctionHandle: @(t)fitF(Params,t)
        Parameters: [3.5087e-08 0.0363 0.0900 16.5823]

Input Arguments

Settle — Settlement date

datetime scalar | string scalar | date character vector

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

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

Instruments — Bond instrument objects

array

Bond instrument objects, specified as an array of bond instruments objects.

Data Types: object

CleanPrice — Observed market prices

vector

Observed market prices, specified as a vector.

Data Types: double

Output Arguments

outCurve — Fitted Nelson-Siegel model

parametercurve object

Fitted Nelson-Siegel model, returned as a parametercurve object.

Version History

Introduced in R2020a

R2022b: Serial date numbers not recommended

Although fitNelsonSiegel supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.