Programs to generate a term structure of spot interest rates and also calculate historical yield volatilities.
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Updated
Sep 19, 2021 - MATLAB
Programs to generate a term structure of spot interest rates and also calculate historical yield volatilities.
Quantitative and computational finance library
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.
Popular way to model the yield curve called Nelson-Siegel-Svannson algorithm.
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
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