Yield curves

Matlab has functions that allow to build yield curves using bootstrapping, Nelson - Siegel, splines, etc. It seems that these functions are not available in Gauss yet....right.

1 Answer


GAUSS doesn't have specific functions for fitting yield curves.  However, it does have tools that can be used for fitting them, a spline function, and optimization functions like Sqpsolvemt which can be used to fit yield curves by generalized method of moments.   There's also an Aptech Systems Application, Constrained Optimization MT which is a more powerful version of Sqpsolvemt with more bells and whistles.

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