fitSvensson

Fit Svensson model to bond market data

Syntax

``outCurve = fitSvensson(Settle,Instruments,CleanPrice)``

Description

example

````outCurve = fitSvensson(Settle,Instruments,CleanPrice)` fits a Svensson model to bond data.```

Examples

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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: [3.3050e-08 0.0197 0.0624 0.1391 1.3563 11.7741] ```

Input Arguments

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Settlement date, specified as a scalar datetime, serial date number, date character vector, or date string.

Data Types: `double` | `char` | `string` | `datetime`

Bond instrument objects, specified as an array of bond instrument objects.

Data Types: `object`

Observed market prices, specified as a vector.

Data Types: `double`

Output Arguments

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Fitted Svensson model, returned as a `parametercurve` object.

Introduced in R2020a