I can fit a spline to the forward interest rate curve with the IRDATACURVE function, but am not sure on how to fit a Nelson-Siegel or Svensson parametric model, which is more typical of industry standards.
MATLAB: Is it possible to fit an interest rate curve using the Nelson-Siegel or Svensson parametric models in MATLAB
Financial Derivatives Toolboxnelsonseagullsiegalsiegelsvensson
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