TimeVaryingNelsonSiegelResult._from_fit#

classmethod TimeVaryingNelsonSiegelResult._from_fit(fit, model)[source]#

Assemble the public result from a raw fit and its specification.

Parameters:

  • fit (_DecayNelsonSiegelFit) – The packed fit from _fit_decay, with the parameter record, the smoothed paths and the filter name.

  • model (TimeVaryingNelsonSiegel) – The model that produced it, read for the panel and the maturities.

Return type:

TimeVaryingNelsonSiegelResult

Returns:

A populated result, with the innovation covariance rebuilt from the fit’s Cholesky factor.