You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Hi, and thanks for the great question! Yes, you can allow them to vary alongside other parameters so minimise mispricing. It is just more conventional to pick them at the start to prevent overfitting and specify where you want the yield curve to "hump".
Hi Felipe, and thanks for the question! Yes, this can also be done, and then you will simply minimize squared deviations from observed yields (this would even be computationally simpler). It is just the application with prices has been more conventional over the years.
Hi, really enjoyed ur videos, although just wanted to ask. is this model the most frequently used for modelling yield curves? and if not, what is? thanks!
Hi i am using this model with the Uks current yield rates and prices, but when i compare the yield rates i get using the model, they are not the same as the real world ones. Is that ok? Also im confused on what values to use for lambda and mu.
![ARGENTINA vs. BOLIVIA [6-0] | RESUMEN | ELIMINATORIAS SUDAMERICANAS | FECHA 10](http://i.ytimg.com/vi/C3wPtKNbAOA/mqdefault.jpg)
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
You made me publish an article in A category journal.... Thanks bro
How do you estimate lambda and mu? You kinda pick ir arbitrarily in the video. Is there a way to estimate the parameter from the data?
Great video!
Hi, and thanks for the great question! Yes, you can allow them to vary alongside other parameters so minimise mispricing. It is just more conventional to pick them at the start to prevent overfitting and specify where you want the yield curve to "hump".
Awesome video, thank you. Can you also specify solver to fit the observed market yields instead of implied prices?
Hi Felipe, and thanks for the question! Yes, this can also be done, and then you will simply minimize squared deviations from observed yields (this would even be computationally simpler). It is just the application with prices has been more conventional over the years.
Hi, really enjoyed ur videos, although just wanted to ask. is this model the most frequently used for modelling yield curves? and if not, what is? thanks!
Hi Umalika, and thanks for the question! Yes, you could say this is the go-to yield curve model.
I constantly repeat that but; if you follow this channel only, you will learn more than top 50 finance master degree program... (if not 10)
Hi Batu, and many thanks for such kind words! Stay tuned for more content!
you are f*n amazing! I cant find the spreadsheet for this model. i only find the regular nelson-siegel.
Master!! Thanks
Hi i am using this model with the Uks current yield rates and prices, but when i compare the yield rates i get using the model, they are not the same as the real world ones. Is that ok? Also im confused on what values to use for lambda and mu.
How often in practice do you update the parameters to new data?
frequently
Hi, and thanks for the question! As frequently as needed - you can even do this real-time as bond prices evolve.
Can we say that the short rate is the same as the zero coupon rate?
Hello Sir, why in the 10 year icoupon 4,250?
I guess those spot rates are basically zero rates since you are using them to discount the cash flow.
by definition a spot rate is the rate of a zero coupon bond ZCB