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Showing posts with label NelsonSiegel. Show all posts
Showing posts with label NelsonSiegel. Show all posts

R: parallel execution using foreach and %dopar%

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This post provides a quick introduction to parallel execution in R using foreach and %dopar% .

R: Saving Lists with Renaming and Loading into a List

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This post shows a streamlined list handling by saving lists with renaming and then loading them into a list for ongoing analysis...

R: Speed Up R Code using Rcpp and RcppArmadillo

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This post demonstrates how to incorporate C++ code to enhance the running speed of R code, through the integration of Rcpp and ...

R: Integration using R integrate() function

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This post demonstrates the usage of a numerical integration function in R, integrate() , accompanied by an example featuring a sl...

R: Shape-based decomposition of the yield-adjustment term in the AFNS model

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This post covers Steeley (2014) shape-based decomposition of the yield-adjustment term in the AFNS model using R.

Python: Independent Component Analysis (ICA) versus PCA

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This post demonstrates the usage of Independent Component Analysis (ICA) in Python, a technique akin to PCA but focused on indepe...

R: Using Differential Evolution to the Nelson-Siegel model

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This post demonstrates the application of Differential Evolution (DE) to estimate Nelson-Siegel parameters using the NMOF R pack...

R: Apply Particle Swarm Optimization to the Nelson-Siegel model

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This post shows how to apply the Particle Swarm Optimization (PSO) to estimate the Nelson-Siegel parameters using pso R packag...

R : Nyholm (2018) Rotated Nelson-Siegel Model

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This post implements R code to estimate the Rotated Nelson-Siegel yield curve model of Nyholm (2018)

R : Nelson-Siegel-Svensson (NSS) model with fixed or estimated constant decay parameters

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This post implements the period-by-period estimation of the Nelson-Siegel-Svensson yield curve model with fixed or estimated co...

Python : Nelson-Siegel or Svensson model with fixed lambda

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This post implements the period-by-period OLS estimation of the Nelson-Siegel and Svensson yield curve model with fixed lambda. ...

Python code: Estimation of Dynamic Nelson-Siegel model

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This post introduces a Python library for estimation of the dynamic Nelson-Siegel (DNS).

R code snippet : Transform from long format to wide format

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This post introduces a simple R code snippet for transforming the long format data to the wide format . We occasionally encounte...

Nelson-Siegel-Svensson Yield Curve model using R code

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This post introduces Nelson-Siegel-Svensson (NSS) yield curve model which is an extension of Nelson-Siegel (NS) model with an ...
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Understanding PCA 3 Factors of the Yield Curve using R code

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This post explains how to decompose a movement of bond yields into 3 factors (level, slope, curvature) which is the work of Lit...

Non-linear Optimization by using constrOptim.nl R function

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This post shows how to use constrOptim.nl() R function to solve non-linear optimization problem with or without equality or i...

Non-linear Optimization of Nelson-Siegel model using nloptr R package

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This post shows how to use nloptr R package to solve non-linear optimization problem with or without equality or inequality co...

Run Excel Solver multiple times : Period-by-Period Estimations of Nelson-Siegel model

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This post shows how to run an Excel solver using VBA macro multiple times. As an example, we take period by period estimations ...

Excel Solver using VBA macro : Nelson-Siegel yield curve fitting

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This post shows how to run an Excel solver using VBA macro. If the number of optimization problems are more than two, every tim...
2 comments:

Bayesian Estimation of Nelson-Siegel model using rjags R package

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This post shows how to use rjags R package to estimate Nelson-Siegel yield curve model based using a Bayesian MCMC in a compac...