I am in the process of calculating sovereign zero coupon yield curves using the NS-Svensson parameter for a number of countries. Due to data constraints, I would like to use the information from price data of both zero coupon and coupon bonds for the construction of the curves.
I had a look into different statistical packages (notably
termstrc in R and
IRFunctionCurve.fitSvenssonin Matlab), where some appear to be able to cope with the optimization across the two asset classes and others restrict themselves to Coupon bonds.
Ignoring for now the question which packages dominates others in terms of implemention, is there any conceptual problem in optimizing the parameters of the model over both asset classes?