Calibrating NS parameters for multiple term structures together

luphord / nelson_siegel_svensson

Implementation of the Nelson-Siegel-Svensson interest rate curve model.

MIT License

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Calibrating NS parameters for multiple term structures together #5

Closed BenJordan23 closed 3 years ago

BenJordan23 commented 3 years ago

Nelson-Siegel-Svensson Model version: 0.4.2
Python version: 3.7.8
Operating System: Mac OS 11.2.3

Description

I was wondering if it is possible to calibrate the decay parameter lambda for multiple term structures like in this paper:

I have term structure data for multiple days and would like to find the optimal lambda and beta parameters considering all term structures together.

many thanks!

luphord commented 3 years ago

There is no such functionality in this library at the moment.

At first glance I would say it is not too hard to implement using the available primitives. Use calibrate.betas_ns_ols to compute optimal betas given lambda for every t. With the betas for every t you can then compute the error function and optimize. Whether this will yield stable and satisfying results is another question.

Are you interested in submitting a pull request?

luphord commented 3 years ago

Are you still interested in this topic or can the issue be closed?