DynamicNelsonSiegelResult.fitted_curves#

DynamicNelsonSiegelResult.fitted_curves()[source]#

Smoothed fitted yields, (nobs, p).

Return type:

NDArray[double]

Returns:

factors pushed through loadings; the gap to panel is the measurement error the fit attributes to each maturity.

Example

>>> import numpy as np
>>> res = DynamicNelsonSiegelResult(
...     panel=np.zeros((30, 4)), maturities=np.array([1.0, 2.0, 5.0, 10.0]),
...     decay=0.6, decay_fixed=True, mu=np.zeros(3), ar=np.full(3, 0.9),
...     state_innovation_cov=np.eye(3), measurement_var=np.full(4, 0.01),
...     factors=np.tile([5.0, 0.0, 0.0], (30, 1)),
...     factor_cov=np.tile(np.eye(3), (30, 1, 1)), llf=0.0, nobs=30, n_params=16.0,
... )
>>> fitted = res.fitted_curves()
>>> fitted.shape, bool(np.allclose(fitted, 5.0))
((30, 4), True)