`NelsonSiegelFitting` directly on rates data?

[Colin Rowat]

The QuantLib term structure examples at Term Structures — QuantLib-Python Documentation 0.0.1 documentation work with `maturity`, `coupon`, and `px`, from which it extracts rates.

Other examples extract rates from swaptions or caplets.

Is there canonical code that takes the rates directly as an input, rather than extracting them?

Thanks!

 

[Daniel Duffy]

Hi Colin,
I worked with Mikael and he is/was working expert in this area. It might be useful.

MikeJuniperhill - Overview

Senior Risk Analyst. MikeJuniperhill has 17 repositories available. Follow their code on GitHub.

github.com

https://onlinelibrary.wiley.com/doi/epdf/10.1002/wilm.10708

He has some more related ones out there, and he is active on QL etc.

regards

Daniel

 

[Colin Rowat]

Thanks Daniel! Reaching out to Mikael now. Hope you're well, Colin

 

[Daniel Duffy]

Thanks, Colin. Everything fine here!