How do I get Svensson parameters

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Nuno 2012-7-8

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回答： Kathy 2017-6-9

Hi,

How do I get Svensson parameters from fitSvensson function?

Thank you,

Nuno

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Answer 1

Luiz Fernando Carnot R de Almeida 2013-12-23

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在 MATLAB Online 中打开

Nuno,

You can retrieve these parameters through the attribute "Parameters" of the model. Check the code presented below (taken from Mathworks' URL http://www.mathworks.com/help/fininst/fitsvenssonirfunctioncurve.html)

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

What I can't tell you (I am trying to figure it out) is what parameters corresponds to each of the Betas and Taus.

Merry Christmas!

Fernando

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Mabelle 2014-3-16

Hi, plz i am having the same problem and i tried typing the previous code but i get the following message: ??? No appropriate method, property, or field Parameters for class IRFunctionCurve.

Any ideas? Thank you!

Gokturk 2014-3-26

Hi,I used the same example and tried to get the parameters. But I got the same error. 'No appropriate method, property, or field Parameters for class IRFunctionCurve'. Can you pls help me

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