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La calibracion del modelo Nelson-Siegel para ajustarse a curvas de rendimientos soberanas se ha encontrado problematica, pues presenta correlacion entre sus factores y genera funciones objetivas con multiples optimos locales. Estos problemas no han sido profundizados en el contexto colombiano, dandole poca importancia al proceso de calibracion. En el presente trabajo se evaluan dos metodos diferentes del gradiente para resolver el problema de ajuste por minimos cuadrados no lineales: el metaheuristico de evolucion diferencial y el metodo de busquedas incrementales sobre los parametros no lineales. Se realizan comparaciones entre los resultados en terminos del ajuste logrado, consistencia en los resultados (para el metaheuristico) y formas obtenidas para la curva. El mismo procedimiento es realizado para el modelo Nelson-Siegel-Svensson, evaluando la pertinencia de su uso dentro del mercado local. Calibration of the Nelson-Siegel (NS) model to adjust to sovereign yield curves has been found to be problematic since the model exhibits a correlation between its factors, and generates objective functions with local multiple optima. These problems are often disregarded in the Colombian market, enough importance is not being given to the calibration process. This study aims to evaluate two non-gradient based methods for solving the non-linear least squares problem: the differential evolution metaheuristic and an incremental search procedure on the non-linear parameters. Comparisons of the results are made in terms of the achieved fit, consistency (for the metaheuristic) and the shapes obtained for the curves. The same procedure is carried out on the Nelson-Siegel-Svensson (NSS) model, evaluating the advisability of its use in the local market.

Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica