After creating a Svensson model I would like to store the parameters calculated by the fitSvensson function.
I already know I can get the six parameters (Beta0, Beta1, Beta2, Beta3, Tau1, Tau2) from the model's "Parameters" attribute but I have no idea about on what order are these parameters provided. I searched the documentation but up to this time I found no reference to this information.
Settle = repmat(datenum('30-Apr-2008'),[6 1]);Maturity = [datenum('07-Mar-2009');datenum('07-Mar-2011');...datenum('07-Mar-2013');datenum('07-Sep-2016');...datenum('07-Mar-2025');datenum('07-Mar-2036')];CleanPrice = [100.1;100.1;100.8;96.6;103.3;96.3];CouponRate = [0.0400;0.0425;0.0450;0.0400;0.0500;0.0425];Instruments = [Settle Maturity CleanPrice CouponRate];PlottingPoints = datenum('07-Mar-2009'):180:datenum('07-Mar-2036');Yield = bndyield(CleanPrice,CouponRate,Settle,Maturity);SvenssonModel = IRFunctionCurve.fitSvensson('Zero',datenum('30-Apr-2008'),Instruments);SvenssonModel.Parametersans = 0.0002 3.7616 -24.5489 34.3165 10.8867 11.9282
Which one is Beta1? Which one is Tau2? Any clues?
Thank you in advance and Merry Christmas to all of you!
Fernando
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