After creating a Svensson model I would like to store the parameters calculated by the fitSvensson function.
I already know I can get the six parameters (Beta0, Beta1, Beta2, Beta3, Tau1, Tau2) from the model's "Parameters" attribute but I have no idea about on what order are these parameters provided. I searched the documentation but up to this time I found no reference to this information.
The example (below - and _ here _) doesn't help very much. Settle = repmat(datenum('30-Apr-2008'),[6 1]);
Maturity = [datenum('07-Mar-2009');datenum('07-Mar-2011');...
datenum('07-Mar-2013');datenum('07-Sep-2016');...
datenum('07-Mar-2025');datenum('07-Mar-2036')];
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];
Instruments = [Settle Maturity CleanPrice CouponRate];
PlottingPoints = datenum('07-Mar-2009'):180:datenum('07-Mar-2036');
Yield = bndyield(CleanPrice,CouponRate,Settle,Maturity);
SvenssonModel = IRFunctionCurve.fitSvensson('Zero',datenum('30-Apr-2008'),Instruments);
SvenssonModel.Parameters
ans =
0.0002 3.7616 -24.5489 34.3165 10.8867 11.9282
Which one is Beta1? Which one is Tau2? Any clues?
Thank you in advance and Merry Christmas to all of you!
Fernando
