What solution method does the ZERO2PYLD function use in the Financial Toolbox?

2009 6 27
1 个回答
回答已采纳
8 次查看（30 天）

0 个投票

What solution method does the ZERO2PYLD function use in the Financial Toolbox?

请先登录，再回答此问题。

 采纳的回答

0 个投票

The method used for calculating the yield in ZERO2PYLD uses a method similar to the Nielson-Siegel method. The function use the idea of a nonlinear fitting method. It performs a nonlinear fit using the FSOLVE function. The equation that we try to fit the curve to is:
CashPrice = Sum_i { (Coupon_i/2) * (1+ZeroRate_i/2)^TimeFactor_i }
FSOLVE solves a system of nonlinear equations using an interior-reflective Newton method.

更多回答（0 个）

类别

在 帮助中心 和 File Exchange 中查找有关 Systems of Nonlinear Equations 的更多信息

产品

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by