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COMISEF WORKING PAPERS SERIES
Computational Optimization Methods in Statistics, Econometrics and WORKING PAPERS SERIESWPS-031 30/03/2010 Calibrating the Nelson Siegel Svensson modelM. GilliStefan Gro eE. Schumann- Marie Curie Research and Training Network funded by the EU Commission through MRTN-CT-2006-034270 -Calibrating the Nelson Siegel Svensson modelManfred Gilli , Stefan Gro e and Enrico Schumann March30,2010 AbstractThe Nelson Siegel Svensson model is widely-used for modelling the yield curve, yetmany authors have reported numerical difficulties when calibrating the model. We ar-gue that the problem is twofold: firstly, the optimisation problem is not convex and hasmultiple local optima. Hence standard methods that are readily available in statisticalpackages are not appropriate. We implement and test an optimisation heuristic, Differ-ential Evolution, and show that it is capable of reliably solving the model.
Computational Optimization Methods in Statistics, Econometrics and Finance www.comisef.eu COMISEF WORKING PAPERS SERIES WPS …
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