fitSvensson
Fit Svensson model to bond market data
Description
fits a Svensson model to bond data.outCurve
= fitSvensson(Settle
,Instruments
,CleanPrice
)
Examples
Fit Svensson 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 fitSvensson
to create a parametercurve
object.
SvenModel = fitSvensson(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.
SvenModel = parametercurve with properties: Type: "zero" Settle: 15-Sep-2017 Compounding: -1 Basis: 0 FunctionHandle: @(t)fitF(Params,t) Parameters: [3.3037e-08 0.0197 0.0624 0.1391 1.3563 11.7741]
Input Arguments
Settle
— Settlement date
datetime | serial date number | date character vector | date string
Settlement date, specified as a scalar datetime, serial date number, date character vector, or date string.
Data Types: double
| char
| string
| datetime
Instruments
— Bond instrument objects
array
Bond instrument objects, specified as an array of bond instrument objects.
Data Types: object
CleanPrice
— Observed market prices
vector
Observed market prices, specified as a vector.
Data Types: double
Output Arguments
outCurve
— Fitted Svensson model
object
Fitted Svensson model, returned as a parametercurve
object.
Version History
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