Re: [Quantlib-users] Nelson Siegel Calibration - Freeze exponential decay?

[Luigi B. <lui...@gm...>]

Hello Philippe,
    no way to fix a single parameter, I'm afraid.  If you have a set of
calibrated parameters and want to use them without performing the
calibration, you can pass maxEvaluations=0 to achieve that but you'll still
have to pass at least one helper in order to establish a max date.
Starting from next release, there will be another constructor available
that takes no helpers and an explicit max date and does the same.

Hope this helps,
    Luigi


On Mon, Dec 2, 2024 at 4:15 PM Philippe Hatstadt via QuantLib-users <
qua...@li...> wrote:

> Is there a way to fix one or more parameters when calibrating NS from the
> python API?
> Specifically, I would like to fix the exponential decay lambda parameter.
>
> After building instrument helpers, I use this call:
> ql.FittedBondDiscountCurve(*params, ql.NelsonSiegelFitting(),, accuracy,
> numIter, guess, simplex_lambda)
>
> I looked at the c++ code, and it seems that there is a array parameter
> that represents weights, but I didn't see anything related to freezing one
> parameter.
>
> Also, I was looking for a way to just build a NS curve by passing all
> parameters, and not perform any calibration, but I didn't see one. It's
> easy to implement, but wondering as the solution might be related to my
> first question?
>
>
>
> Best regards Philippe Hatstadt 203-252-0408
> https://www.linkedin.com/in/philippe-hatstadt/
>
>
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