Nelson-Siegel-Svensson model

[Kirill Shemyakin]

Hi all,

Is Nelson-Siegel-Svensson interpolation and calibration model for
yield curve construction implemented in QuantLib (QuantLibXL)?

Kind regards,
Kirill

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[Kirill Shemyakin]

Allen,

Thank you. Works like a charm.

Cheers


On 5 July 2012 19:03, Allen Kuo <[hidden email]> wrote:

> I think it is implemented in QuantLib:
>
> http://quantlib.org/reference/class_quant_lib_1_1_svensson_fitting.html
>
> Not sure about QuantLibXL
>
>
>
> On 7/5/2012 9:36 PM, Kirill Shemyakin wrote:
>>
>> Hi all,
>>
>> Is Nelson-Siegel-Svensson interpolation and calibration model for
>> yield curve construction implemented in QuantLib (QuantLibXL)?
>>
>> Kind regards,
>> Kirill
>>
>>
>> ------------------------------------------------------------------------------
>> Live Security Virtual Conference
>> Exclusive live event will cover all the ways today's security and
>> threat landscape has changed and how IT managers can respond. Discussions
>> will include endpoint security, mobile security and the latest in malware
>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

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threat landscape has changed and how IT managers can respond. Discussions
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threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
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