Commenced in January 2007
Paper Count: 31106
A Hybrid Particle Swarm Optimization-Nelder- Mead Algorithm (PSO-NM) for Nelson-Siegel- Svensson Calibration
Abstract:Today, insurers may use the yield curve as an indicator evaluation of the profit or the performance of their portfolios; therefore, they modeled it by one class of model that has the ability to fit and forecast the future term structure of interest rates. This class of model is the Nelson-Siegel-Svensson model. Unfortunately, many authors have reported a lot of difficulties when they want to calibrate the model because the optimization problem is not convex and has multiple local optima. In this context, we implement a hybrid Particle Swarm optimization and Nelder Mead algorithm in order to minimize by least squares method, the difference between the zero-coupon curve and the NSS curve.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1124551Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 962
 Bliss R. and Fama E. The Information in Long Maturity Forward Rates American Economic Review,Vol. 77 , 680.692.1987.
 Bonnin F., Planchet F. and Juillard M Application of stochastic techniques for the prospective analysis of the fiscal impact of interest rate risk-Example on financial expenses of a complex bond debt French Bulletin of Actuarial,vol. 11, no 21,2011.
 Diebold F.X. and LI C Forecasting the term structure of government bond yields. Journal of Econometrics,vol. 130, no 2, 337.364,2006.
 Diebold F. X.and Rudebusch G. D.and Borag
[caron]an Aruoba S The macroeconomy and the yield curve: A dynamic latent factor approach. Journal of Econometrics Vol.131,309-338, 2006.
 Gilli. M. and Grosse.S and Schumann. E. Calibrating the Nelson-Siegel-Svensson Model. Computational Optimization Methods in Statistics, Econometrics and Finance, 2010.
 Gimeno. R. and Nave, Juan Migue. Genetic Algorithm Estimation of Interest Rate Term Structure.. Banco de Espana Research Paper No. WP-0634,2010.
 Hautsch N. E and Ou Y. Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields. Journal of Banking and Finance Vol.36, 2988-3007,2012.
 Kao Y.T., E. Zahara, and I. W. Kao A hybridized approach to data clustering. Expert Systems with Applications, vol. 34, no. 3, pp. 17541762, 2008.
 Kennedy, J. and Eberhart, R. Particle Swarm Optimization In Proceedings of IEEE International Conference on Neural Network, volume IV, 1995.
 Koduru P., S. Das, S. M. Welch, J. L. Roe. Fuzzy Dominance Based Multi-objective GA-Simplex Hybrid Algorithms Applied to Gene Network Models Lecture Notes in Computer Science: Proceedings of the Genetic and Evolutionary Computing Conference, Seattle, Washington, (Eds. Kalyanmoy Deb et al.), Springer-Verlag, Vol 3102, pp. 356-367, 2004.
 Liu.A, and Yang M.T A New Hybrid Nelder-Mead Particle Swarm Optimization for Coordination Optimization of Directional Overcurrent Relays. Hindawi Publishing Corporation Mathematical Problems in Engineering Volume 2012, Article ID 456047, 18 pages,2012.
 McCulloch J.H The Tax-Adjusted Yield Curve The Journal of Finance Vol.30, 811-830,1975.
 Nelson C. and Siegel A. F Parsimonious Modeling of Yield Curves Journal of Business, Vol. 60, 473.489,1987.
 Svensson L. E. O Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994 IMFWorking Paper , 1.49,1994.
 Vasicek O. A. and Fong H. G. Term Structure Modeling Using Exponential Splines. Journal of Finance,Vol. 73,339.348,1982.