DRF.5F.tFix: Estimation of the De Rezende-Ferreira 5 Factor model's...

In DeRezende.Ferreira: Zero Coupon Yield Curve Modelling

Description

The command estimates the parameters of the De Rezende-Ferreira 5 Factor model using fixed \ τ_{1} and \ τ_{2}

Usage

DRF.5F.tFix(rate, maturity, fixed_tau1, fixed_tau2)

Arguments

rate	Vector or matrix of class "zoo", which contains interest rates
maturity	Vector of class "numeric", wich contains the maturities
fixed_tau1	Decaying parameter of class "numeric" (Slope)
fixed_tau2	Decaying parameter of class "numeric" (Curvature)

Value

An object of class "zoo", that contains \ ≤ft (β_{0t},\ β_{1t},\ β_{2t},\ β_{3t},\ β_{4t},\ τ_{1t},\ τ_{2t},\ SSR_{t},\ R^{2}_{t} \right)

Examples

#
# De Rezende-Ferreira 5F model on the Indian Data-Set
#

data(ZC_India)
real.rate = ZC_India
ZC_India[["Date"]] = NULL
rate = zoo(ZC_India)
index(rate) = as.POSIXct(paste(real.rate[["Date"]]))
maturity <- c(0.25, 0.5, 0.75, 1,2,3,4,5,6,7,8,9,10,12,15,20,25,30)
fixed_tau1 = (1.07612)
fixed_tau2 = (6.23293)

RF.5F.Parameters <- DRF.5F.tFix(rate, maturity, fixed_tau1, fixed_tau2)

par(mfrow=c(3,2))
 plot(RF.5F.Parameters[,"beta0"],xlab="Date",ylab="BETA0",ylim=c(7.0,9.0),col="blue",lwd=1)
 grid(nx=12, ny=12)
 plot(RF.5F.Parameters[,"beta1"],xlab="Date",ylab="BETA1",ylim=c(-3.5,0.2),col="blue",lwd=1)
 grid(nx=12, ny=12)
 plot(RF.5F.Parameters[,"beta2"],xlab="Date",ylab="BETA2",ylim=c(-1.5,1.0),col="blue",lwd=1)
 grid(nx=12, ny=12)
 plot(RF.5F.Parameters[,"beta3"],xlab="Date",ylab="BETA3",ylim=c(-2.0,0.5),col="blue",lwd=1)
 grid(nx=12, ny=12)
 plot(RF.5F.Parameters[,"beta4"],xlab="Date",ylab="BETA4",ylim=c(-2.5,5.0),col="blue",lwd=1)
 grid(nx=12, ny=12)
par(mfrow=c(1,1))

DeRezende.Ferreira documentation built on May 2, 2019, 10:15 a.m.