NelsonSiegelFitting parameters in QuantLib Python

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NelsonSiegelFitting parameters in QuantLib Python

tarpanelli@libero.it
Hello,
just a quick question: I am using QuantLib-Python, is it possible to extract the calibrated parameters from the NelsonSiegelFitting method?If yes, could you just show me how to do it?
thanks
Best regards
Paolo



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Re: NelsonSiegelFitting parameters in QuantLib Python

Luigi Ballabio
If `curve` is the fitted term structure, curve.fitResults().solution() will give you the array of fitted parameters.  For their interpretation depending on the fitting method used, you'll have to check the code of the methods.

Luigi


On Thu, Apr 13, 2017 at 7:46 AM [hidden email] <[hidden email]> wrote:
Hello,
just a quick question: I am using QuantLib-Python, is it possible to extract the calibrated parameters from the NelsonSiegelFitting method?If yes, could you just show me how to do it?
thanks
Best regards
Paolo


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