R code for Arbitrage-Free Nelson-Siegel-Svensson (AFNSS) model

This post provides an R code for the 4-factor Arbitrage-Free Nelson-Siegel-Svensson (AFNSS) model developed by Lee (2024).

R: parallel execution using foreach and %dopar%

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

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

This post demonstrates how to incorporate C++ code to enhance the running speed of R code, through the integration of Rcpp and RcppArmadillo. The Nelson-Siegel yield curve model serves as an illustrative example.

R: Integration using R integrate() function

This post demonstrates the usage of a numerical integration function in R, integrate(), accompanied by an example featuring a slope factor-related term.

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

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

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

R: Using Differential Evolution to the Nelson-Siegel model

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

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

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

R : Nyholm (2018) Rotated Nelson-Siegel Model

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