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Use Nelson Siegel Parameters

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Federico Massetti
Federico Massetti 2017-6-22
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

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