Estimating yield curve the Svensson extended model using L-BFGS-B method approach
Muslim Muslim, Dedi Rosadi, Gunardi Gunardi, Abdurakhman Abdurakhman · AIP conference proceedings · 2015
Yield curve is curves that describe the magnitude of the yield against maturity. To describe this curve, we use the Svensson model. One extension of this model is Rezende-Ferreira. Expansion undertaken by Rezende-Ferreira has weaknesses that there are several parameters have the same value. These values form Nelson-Siegel model. In this paper, we propose expansion of Svensson model. These models are non-linear model, so it is more difficult to estimate. To overcome this problem, we propose Nonlinear Least Square by L-BFGS-B method approach.