http://finance.yahoo.com/bonds/composite_bond_rates

<t>I'm pretty sure yahoo finance actually includes daily data for various bonds, not just the widely acknowledged equity stuff. Presumably, when you say "other than bbg", you mean something free/readily available, not on a subscription basis? CompuStat and Thomson Datastream both have various bits o...

<r><URL url="http://www.quantnet.org/forum/showthread.php?t=3977If">http://www.quantnet.org/forum/showthread.php?t=3977If</URL> you read that thread, you'll find matlab code to do what you are asking about (fit the Vasicek model to a yield curve). I implemented this for a thesis I completed in 2008....

<r>Please see the files: "Bond And Interest Models - Matlab.zip"at: <URL url="http://www.quantnet.org/forum/showthread.php?p=32079&posted=1#post32079"><LINK_TEXT text="http://www.quantnet.org/forum/showthrea ... #post32079">http://www.quantnet.org/forum/showthread.php?p=32079&posted=1#post32...

i've never seen wikimedia before... did you just post your stuff in the wikiversity section of it?Not sure exactly where the best place to put matlab code + images + description of bond pricing models would be...

<t>Hi allJust finished my masters, and have a bit of code sitting around which I used in my thesis in case anyone wants it. Everything is in Matlab.I was working on a project trying various structural bond pricing models to price corporate bonds, and implemented the Merton 1974, Longstaff and Schwar...

<t>QuoteOriginally posted by: DominicConnorSorry, I've been on holiday, after a week catching I now have only 1253 messages left to handle....Quant Dev is the obvious route, and you've worked on the C familiy of languages which is good.Most of the maths you've done aren't relevant, and I guess a bit...

<t>QuoteOriginally posted by: cyklopFrom my point of view, you can do two totally differnt things:* Calibrate today's term structure of interest rates by using the explicitly given formula for yields in the Vasicek model* apply a filter to fit historical short rates to find the parameters.Perhaps yo...

<r>As per redla's (and my own) questions, I found some code that lets you find optimum parameters for the Nelson-Siegel model based _on yield curve data_ as opposed to a historic time series data set, in matlab, at the following link:<URL url="http://www.mathworks.com/matlabcentral/fileexchange/load...

<t>Hi Redla, I'm new to this forum, so I don't know if I managed to send that last message off correctly or not.. just in case I messed something up, I am interested in trying to do the same thign you did, ie: Estimate interest rate model parameters given an observed yield curve (cross-sectional dat...