Quantitative and computational finance library
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Updated
Sep 26, 2017 - MATLAB
Quantitative and computational finance library
The project fits the Nelson-Siegel or Svensson curve to sovereign bond data (Real & Nominal) for various countries.
Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.
Programs to generate a term structure of spot interest rates and also calculate historical yield volatilities.
The aim of this code is to show the preliminary results of the forecast for the term structure (with different maturities) of the Mexican government bonds using different types of models.
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