Estimating the Yield Curve Using the Nelson Siegel Model

Laguerre function in the form ofxe−x, is the product of an exponential with a polynomial. Nelson and Siegel (1987) chose a first degree polynomial which makes the Laguerre function in the Nelson‐Siegel model generate a hump (β2 > 0) or a trough (β2 < 0).

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Forecasting the term structure of government bond yields

The Nelson–Siegel forward rate curve can be viewed as a constant plus a Laguerre function, which is a polynomial times an exponential decay term and is a popular mathematical approximating function.4 The corresponding yield curve is y …

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代数精度

Gauss-Laguerre 求积公式：[a, b]=[0,+∞] Gauss-Hermite 求积公式：[a, b]=[-∞,+∞] 实际应用中可以使用复合Gauss 求积公式 将积分区间分隔成若干小区间 在每个小区间上使用Gauss 求积公式

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PREFACE Through six editions now, Mathematical Methods for Physicists has provided all the math-ematical methods that aspirings scientists and engineers are likely to encounter as students