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 of the object to be created.
  • anchorDate The date at which the resultant curve will be anchored. Can be set to zero.(Date)
  • dates The dates at which rates apply.(Date)
  • rates The rates to be fitted