Create a best fit Nelson Siegel curve.

Description

Create a best fit Nelson Siegel curve. Can be used anywhere as a curve. (Curve)

Example Sheet

FitCurveNelsonSiegel.xlsx

Arguments

  • objectName The name that this object will be assigned on the map. Should be unique.
  • anchorDate (Date)The date at which the resultant curve will be anchored. Can be set to zero.
  • dates (Date[])The dates at which rates apply.
  • rates (Double[])The rates to be fitted