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Svensson model Implementation Testing
We use interior point method to find out the betas so as to implement the Svensson model.Could anyone suggest how to test it? Is there any available dataset? Thanks.
Svensson model Implementation Testing
Send my a private message with your email and we can discuss this topic in more detail. Maybe, I can provide you with test data ... I am not aware of something like a standard data set. When it comes to testing, read the paper of Bliss, "testing term structure estimation methods"