Finances Module

Namespace: FSharp.Stats.Fitting
Assembly: FSharp.Stats.dll
Parent Module: Table

Functions and values

Function or value Description

nelsonSiegel

Full Usage: nelsonSiegel

Returns: Model

Nelson-Siegel is a curve fitting model that is frequently applied in finance to fit smoothed yield curves. xData: The periods of available yield rates (time). yData: The observed yields.

Returns: Model

nelsonSiegelSvensson

Full Usage: nelsonSiegelSvensson

Returns: Model

Nelson-Siegel-Svensson is a curve fitting model that is frequently applied in finance to fit smoothed yield curves and extends the Nelson Siegel model by a term introducing a second hump. xData: The periods of available yield rates (time). yData: The observed yields.

Returns: Model