Nelson Siegel with constraints

Posted by Laurent Millischer on Aug 17, 2016; 9:02am
URL: http://quantlib.414.s1.nabble.com/Nelson-Siegel-with-constraints-tp17649.html

Dear all,

I am using QL in Python and have translated parts of the example file of how to fit a yield curve with bonds in order to fit a Nelson-Siegel yield curve to a set of given calibration bonds.

As usual when performing such a non-linear fit, the results depend strongly on the initial conditions and many (economically meaningless) minima of the objective function exist. This is why putting constraints on the parameters is essential for success. To give an example, at times I get negative tau/lambda parameters and my yield curve diverges.

I did not find how these parameter contraints can be specified in the NelsonSiegelFitting or the FittedBondDiscountCurve classes. I could imagine that anyone performing NS fitting in QL will encounter the same issue.

Thanks a lot in advance for your help.

Regards,

Laurent

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